Consider the single factor APT. Portfolio A has a beta of 1.2 and an expected return of 23%. Portfolio B has a beta of 0.7 and an expected return of 19%. The risk-free rate of return is 7%. 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

• A;A

• A;B

• B;B

• B;A