Question: Consider the single factor APT. Portfolio A has a beta of 1.7 and an expected return of 22.5%. Portfolio B has a beta of 0.3

Consider the single factor APT. Portfolio A has a beta of 1.7 and an expected return of 22.5%. Portfolio B has a beta of 0.3 and an expected return of 5.5%. The risk-free rate of return is 2.5%. 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

C. A;B

d. b;A

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