Consider the Single Factor APT

question 78

Multiple Choice

Consider the single factor APT.Portfolios A and B have expected returns of 14% and 18%, respectively.The risk-free rate of return is 7%.Portfolio A has a beta of 0.7.If arbitrage opportunities are ruled out, portfolio B must have a beta of

• A)0.45.
• B)1.00.
• C)1.10.
• D)1.22.
• E)None of the options

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