Question: T/F with explaination Consider a single factor APT. Portfolio A has a beta of 0 and an expected return of 12%. Portfolio B has a

T/F with explaination

Consider a single factor APT. Portfolio A has a beta of 0 and an expected return of 12%. Portfolio B has a beta of 1.5 and an expected return of 17%. The risk-free rate of return is 4%. If you wanted to take advantage of an arbitrage opportunity, you should take a short position in portfolio A and a long position in portfolio B.

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