Question
Consider the single factor APT. Portfolio A has a beta of 1 and an expected return of 15%. Portfolio B has a beta of 0.5
Consider the single factor APT. Portfolio A has a beta of 1 and an expected return of 15%. Portfolio B has a beta of 0.5 and an expected return of 7%. The risk-free rate of return is 1%. If you wanted to take advantage of an arbitrage opportunity, you should take a short position in portfolio __________ and a long position in portfolio _________.
| A. | A; A | |
| B. | A; B | |
| C. | B; A | |
| D. | B; B |
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Introduction to Algorithms
Authors: Thomas H. Cormen, Charles E. Leiserson, Ronald L. Rivest
3rd edition
978-0262033848
