Question: Consider the single factor APT. Portfolio A has a beta of 0.3 and an expected return of 13%. Portfolio B has a beta of 0.4

Consider the single factor APT. Portfolio A has a beta of 0.3 and an expected return of 13%. Portfolio B has a beta of 0.4 and an expected return of 15%. The risk-free rate of return is 10%. Is there an arbitrage opportunity? If so, show one of your arbitrage strategies and how you would construct your portfolios.

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