Question: Consider the single factor APT. Portfolio A has a beta of 11 and an expected return of 22%. Portfolio B has a beta of .5

Consider the single factor APT. Portfolio A has a beta of 11 and an expected return of 22%. Portfolio B has a beta of .5 and an expected return of 18%. The risk-free rate of return is 8%. If you wanted to take advantage of an arbitrage opportunity, you should take a short position in portfolio and a long position in portfolio Multiple Choice AA AB BB

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