Question
Consider the single factor APT. Portfolio A has a beta of 1.5 and an expected return of 20%. Portfolio B has a beta of .7
Consider the single factor APT. Portfolio A has a beta of 1.5 and an expected return of 20%. Portfolio B has a beta of .7 and an expected return of 16%. The risk-free rate of return is 8%. If you wanted to take advantage of an arbitrage opportunity, you should take a short position in portfolio __________ and a long position in portfolio _________.
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Modern Portfolio Theory and Investment Analysis
Authors: Edwin Elton, Martin Gruber, Stephen Brown, William Goetzmann
9th edition
9781118805800, 1118469941, 1118805801, 978-1118469941
