Consider the Single Factor APT

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