Question: Consider the single factor APT. Portfolio A has a beta of 1.7 and an expected return of 19%. Portfolio B has a beta of .6

Consider the single factor APT. Portfolio A has a beta of 1.7 and an expected return of 19%. Portfolio B has a beta of .6 and an expected return of 15%. The risk-free rate of return is 11%. If you wanted to take advantage of an arbitrage opportunity, you should take a short position in portfolio __________ and a long position in portfolio

A;A

A;B

B;B

B;A

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