Consider the Single Factor APT

question 39

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 above