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Consider the single factor APT. Portfolio A has a beta of 1.8 and an expected return of 22%. Portfolio B has a beta of 6

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Consider the single factor APT. Portfolio A has a beta of 1.8 and an expected return of 22%. Portfolio B has a beta of 6 and an expected return of 18%. The risk-free rate of return is 12%. If you wanted to take advantage of an arbitrage opportunity, you should take a short position in portfolio and a long position in portfolio Multiple Choice AB BB AA BA

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