Consider the single factor APT. Portfolio A has a beta of 0.2 and an expected return of 12%. Portfolio B has a beta of 0.5 and an expected return of 15%. Both are well diversified. The risk-free rate of return is 12%. You want to take advantage of an arbitrage opportunity. You should first construct a zero-beta portfolio P using portfolios A and B. Then construct the arbitrage portfolio by going short $1 of portfolio P and long $1 of the risk-free asset (i.e. the cost of your arbitrage portfolio is zero). Your payoff in a year is $ for sure