Consider the single factor APT. Portfolio A has a beta of 1.8 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 12%. If you wanted to take advantage of an arbitrage opportunity, you should take a short position in portfolio. and a long position in portfolio. Multiple Choice O A;B BB A:A
Consider the single factor APT. Portfolio A has a beta of 1.8 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 12%. If you wanted to take advantage of an arbitrage opportunity, you should take a short position in portfolio. and a long position in portfolio. Multiple Choice O A;B BB A:A
Chapter8: Analysis Of Risk And Return
Section: Chapter Questions
Problem 13QTD
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![Consider the single factor APT. Portfolio A has a beta of 1.8 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 12%. If you wanted to take advantage of an arbitrage opportunity, you
should take a short position in portfolio.
and a long position in portfolio
Multiple Choice
A;B
BB
A:A
BA](/v2/_next/image?url=https%3A%2F%2Fcontent.bartleby.com%2Fqna-images%2Fquestion%2Fde349bca-b77a-4b17-8696-f46e35f9089a%2F21bb4fd4-c08d-458e-a80c-66294da58c95%2Fb170tj5_processed.jpeg&w=3840&q=75)
Transcribed Image Text:Consider the single factor APT. Portfolio A has a beta of 1.8 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 12%. If you wanted to take advantage of an arbitrage opportunity, you
should take a short position in portfolio.
and a long position in portfolio
Multiple Choice
A;B
BB
A:A
BA
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