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Consider the single factor APT. Portfolio A has a beta of 1 and an expected return of 11%. Portfolio B has a beta of .5

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Consider the single factor APT. Portfolio A has a beta of 1 and an expected return of 11%. Portfolio B has a beta of .5 and an expected return of 6%. The risk-free rate of return is 2%. If you wanted to take advantage of an arbitrage opportunity, you should take a short position in portfolio and a long position in portfolio B;A A;A A;B

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