Consider a single-index based APT. Portfolio A has a beta of 1 and an expected return of 20%. Portfolio B has a beta of 0.8 and an expected return of 15%. The T-bill's risk-free rate of return is 5%. If you wanted to take advantage of an arbitrage opportunity, you should take a long position in portfolio and a short position in portfolio A; B A; T-bill B; T-bill B; A There is no arbitrage opportunity in this