Consider the Single Factor APT

question 14

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 are corrct.

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