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Consider the single factor APT. Portfolio A has a beta of 1.5 and an expected return of 20%. Portfolio B has a beta of 7
Consider the single factor APT. Portfolio A has a beta of 1.5 and an expected return of 20%. Portfolio B has a beta of 7 and an expected return of 16%. 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 Multiple Choice AA A:B O B;B O B;A
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