Consider the Single Factor APT

question 70

Multiple Choice

Consider the single factor APT.Portfolio A has a beta of 0.2 and an expected return of 13%.Portfolio B has a beta of 0.4 and an expected return of 15%.The risk-free rate of return is 10%.If you wanted to take advantage of an arbitrage opportunity,you should take a short position in portfolio _________ and a long position in portfolio _________.

• A)A, A
• B)A, B
• C)B, A
• D)B, B
• E)none of the above

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