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QUESTION 4 Consider the single factor APT. Portfolio A has a beta of 1.2 and an expected return of 22%. Portfolio B has a beta

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QUESTION 4 Consider the single factor APT. Portfolio A has a beta of 1.2 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 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 B;A A;B A;A B;B

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