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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

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