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Consider the single factor APT. Portfolio A has a beta of 1.1 and an expected return of 22%. Portfolio B has a beta of 0.5
Consider the single factor APT. Portfolio A has a beta of 1.1 and an expected return of 22%. Portfolio B has a beta of 0.5 and an expected return of 18%. 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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