Consider a single factor APT. Portfolio A has a beta of 2.0 and an expected return of 22%. Portfolio B has a beta of 1.5 and an expected return of 17%. The risk-free rate of return is 4%. Please answer the following questions.

Portfolio	beta	R	Rf
A	2	22%	4%
B	1.5	17%	4%

Choose all correct answers. Please note that each incorrect answer will reduce the score by 10%

	a.	The arbitrage strategy it to short portfolio A and use the proceeds to take a long position (50%) in A and (50%) in risk free asset
	b.	The arbitrage profit is 0.5%
	c.	The arbitrage strategy is to short portfolio B and use the proceeds to take a long position (75%) in A and (25%) in risk free asset
	d.	The arbitrage strategy: is to short portfolio A and B and use the proceeds to take a long position in risk free asset
	e.	For portfolio A , the ratio of risk premium to beta is 10%
	f.	The ratio of risk premium to beta for portfolio A is 10%
	g.	The ratio of risk premium to beta for portfolio B is 7.67%
	h.	The ratio of risk premium to beta for portfolio B is 8.67%
	i.	The arbitrage profit is 5%
	j.	The ratio of risk premium to beta for portfolio A is 9%