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Consider the single factor APT. Portfolio A has a beta of 0.55 and an expected return of 11%. Portfolio B has a beta of 0.90

Consider the single factor APT. Portfolio A has a beta of 0.55 and an expected return of 11%. Portfolio B has a beta of 0.90 and an expected return of 16%. The risk-free rate of return is 3%. Is there an arbitrage opportunity? If so, how would you take advantage of it?

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