投资学课后答案APT

ModifiedbyJACKontheafternoonofDecember26,2020投资学课后答案APTChapter10ArbitragePricingTheoryandMultifactorModelsofRiskandReturnMultipleChoiceQuestions?1.___________arelationshipbetweenexpectedreturnandrisk.A.APTstipulatesB.CAPMstipulatesC.BothCAPMandAPTstipulateD.NeitherCAPMnorAPTstipulateE.Nopricingmodelhasfound2.ConsiderthemultifactorAPTwithtwofactors.StockAhasanexpectedreturnof%,abetaofonfactor1andabetaof.86onfactor2.Theriskpremiumonthefactor1portfoliois%.Therisk-freerateofreturnis5%.Whatistherisk-premiumonfactor2ifnoarbitrageopportunitiesexitA.%B.3%C.4%D.%E.%3.Inamulti-factorAPTmodel,thecoefficientsonthemacrofactorsareoftencalled______.A.systemicriskB.factorsensitivitiesC.idiosyncraticriskD.factorbetasE.bothfactorsensitivitiesandfactorbetas4.Inamulti-factorAPTmodel,thecoefficientsonthemacrofactorsareoftencalled______.A.systemicriskB.firm-specificriskC.idiosyncraticriskD.factorbetasE.uniquerisk5.Inamulti-factorAPTmodel,thecoefficientsonthemacrofactorsareoftencalled______.A.systemicriskB.firm-specificriskC.idiosyncraticriskD.factorloadingsE.uniquerisk6.WhichpricingmodelprovidesnoguidanceconcerningthedeterminationoftheriskpremiumonfactorportfoliosA.TheCAPMB.ThemultifactorAPTC.BoththeCAPMandthemultifactorAPTD.NeithertheCAPMnorthemultifactorAPTE.Nopricingmodelcurrentlyexiststhatprovidesguidanceconcerningthedeterminationoftheriskpremiumonanyportfolio7.Anarbitrageopportunityexistsifaninvestorcanconstructa__________investmentportfoliothatwillyieldasureprofit.A.smallpositiveB.smallnegativeC.zeroD.largepositiveE.largenegative8.TheAPTwasdevelopedin1976by____________.A.LintnerB.ModiglianiandMillerC.RossD.SharpeE.Fama9.A_________portfolioisawell-diversifiedportfolioconstructedtohaveabetaof1ononeofthefactorsandabetaof0onanyotherfactor.A.factorB.marketC.indexD.factorandmarketE.factor,market,andindex10.Theexploitationofsecuritymispricinginsuchawaythatrisk-freeeconomicprofitsmaybeearnediscalled___________.A.arbitrageB.capitalassetpricingC.factoringD.fundamentalanalysisE.technicalanalysis11.IndevelopingtheAPT,RossassumedthatuncertaintyinassetreturnswasaresultofA.acommonmacroeconomicfactor.B.firm-specificfactors.C.pricingerror.D.neithercommonmacroeconomicfactorsnorfirm-specificfactors.E.bothcommonmacroeconomicfactorsandfirm-specificfactors.12.The____________providesanunequivocalstatementontheexpectedreturn-betarelationshipforallassets,whereasthe_____________impliesthatthisrelationshipholdsforallbutperhapsasmallnumberofsecurities.A.APT;CAPMB.APT;OPMC.CAPM;APTD.CAPM;OPME.APTandOPM;CAPM13.ConsiderasinglefactorAPT.PortfolioAhasabetaofandanexpectedreturnof16%.PortfolioBhasabetaofandanexpectedreturnof12%.Therisk-freerateofreturnis6%.Ifyouwantedtotakeadvantageofanarbitrageopportunity,youshouldtakeashortpositioninportfolio__________andalongpositioninportfolio_______.A.A;AB.A;BC.B;AD.B;BE.A;therisklessasset14.ConsiderthesinglefactorAPT.PortfolioAhasabetaofandanexpectedreturnof13%.PortfolioBhasabetaofandanexpectedreturnof15%.Therisk-freerateofreturnis10%.Ifyouwantedtotakeadvantageofanarbitrageopportunity,youshouldtakeashortpositioninportfolio_________andalongpositioninportfolio_________.A.A;AB.A;BC.B;AD.B;BE.Noarbitrageopportunityexists.15.Considertheone-factorAPT.Thevarianceofreturnsonthefactorportfoliois6%.Thebetaofawell-diversifiedportfolioonthefactoris.Thevarianceofreturnsonthewell-diversifiedportfolioisapproximately__________.A.%B.%C.%D.%E.%16.Considertheone-factorAPT.Thestandarddeviationofreturnsonawell-diversifiedportfoliois18%.Thestandarddeviationonthefactorportfoliois16%.Thebetaofthewell-diversifiedportfolioisapproximately__________.A.B.C.D.E.17.Considerthesingle-factorAPT.StocksAandBhaveexpectedreturnsof15%and18%,respectively.Therisk-freerateofreturnis6%.StockBhasabetaof.Ifarbitrageopportunitiesareruledout,stockAhasabetaof__________.A.B.C.D.E.18.ConsiderthemultifactorAPTwithtwofactors.StockAhasanexpectedreturnof%,abetaofonfactor1andabetaof.8onfactor2.Theriskpremiumonthefactor1portfoliois3%.Therisk-freerateofreturnis6%.Whatistherisk-premiumonfactor2ifnoarbitrageopportunitiesexitA.2%B.3%C.4%D.%E.%19.ConsiderthemultifactormodelAPTwithtwofactors.PortfolioAhasabetaofonfactor1andabetaofonfactor2.Theriskpremiumsonthefactor1andfactor2portfoliosare1%and7%,respectively.Therisk-freerateofreturnis7%.TheexpectedreturnonportfolioAis__________ifnoarbitrageopportunitiesexist.A.%B.%C.%D.%E.%20.ConsiderthemultifactorAPTwithtwofactors.Theriskpremiumsonthefactor1andfactor2portfoliosare5%and6%,respectively.StockAhasabetaofonfactor1,andabetaofonfactor2.TheexpectedreturnonstockAis17%.Ifnoarbitrageopportunitiesexist,therisk-freerateofreturnis___________.A.%B.%C.%D.%E.%21.Consideraone-factoreconomy.PortfolioAhasabetaofonthefactorandportfolioBhasabetaofonthefactor.TheexpectedreturnsonportfoliosAandBare11%and17%,respectively.Assumethattherisk-freerateis6%andthatarbitrageopportunitiesexist.Supposeyouinvested$100,000intherisk-freeasset,$100,000inportfolioB,andsoldshort$200,000ofportfolioA.Yourexpectedprofitfromthisstrategywouldbe______________.A.$1,000B.$0C.$1,000D.$2,000E.$1,60022.Considertheone-factorAPT.Assumethattwoportfolios,AandB,arewelldiversified.ThebetasofportfoliosAandBareand,respectively.TheexpectedreturnsonportfoliosAandBare19%and24%,respectively.Assumingnoarbitrageopportunitiesexist,therisk-freerateofreturnmustbe____________.A.%B.%C.%D.%E.%23.ConsiderthemultifactorAPT.Theriskpremiumsonthefactor1andfactor2portfoliosare5%and3%,respectively.Therisk-freerateofreturnis10%.StockAhasanexpectedreturnof19%andabetaonfactor1of.StockAhasabetaonfactor2of________.A.B.C.D.E.24.ConsiderthesinglefactorAPT.PortfoliosAandBhaveexpectedreturnsof14%and18%,respectively.Therisk-freerateofreturnis7%.PortfolioAhasabetaof.Ifarbitrageopportunitiesareruledout,portfolioBmusthaveabetaof__________.A.B.C.D.E.Therearethreestocks,A,B,andC.Youcaneitherinvestinthesestocksorshortsellthem.Therearethreepossiblestatesofnatureforeconomicgrowthintheupcomingyear;economicgrowthmaybestrong,moderate,orweak.ThereturnsfortheupcomingyearonstocksA,B,andCforeachofthesestatesofnaturearegivenbelow:25.IfyouinvestedinanequallyweightedportfolioofstocksAandB,yourportfolioreturnwouldbe___________ifeconomicgrowthweremoderate.A.%B.%C.%D.%E.%26.IfyouinvestedinanequallyweightedportfolioofstocksAandC,yourportfolioreturnwouldbe____________ifeconomicgrowthwasstrong.A.%B.%C.%D.%E.%27.IfyouinvestedinanequallyweightedportfolioofstocksBandC,yourportfolioreturnwouldbe_____________ifeconomicgrowthwasweak.A.%B.%C.%D.%E.%28.Ifyouwantedtotakeadvantageofarisk-freearbitrageopportunity,youshouldtakeashortpositionin_________andalongpositioninanequallyweightedportfolioof_______.A.A;BandCB.B;AandCC.C;AandBD.AandB;CE.Noarbitrageopportunityexists.ConsiderthemultifactorAPT.Therearetwoindependenteconomicfactors,F1andF2.Therisk-freerateofreturnis6%.Thefollowinginformationisavailableabouttwowell-diversifiedportfolios:?29.Assumingnoarbitrageopportunitiesexist,theriskpremiumonthefactorF1portfolioshouldbe__________.A.3%B.4%C.5%D.6%E.2%30.Assumingnoarbitrageopportunitiesexist,theriskpremiumonthefactorF2portfolioshouldbe___________.A.3%B.4%C.5%D.6%E.2%31.Azero-investmentportfoliowithapositiveexpectedreturnariseswhen_________.A.aninvestorhasdownsideriskonlyB.thelawofpricesisnotviolatedC.theopportunitysetisnottangenttothecapitalallocationlineD.arisk-freearbitrageopportunityexistsE.arisk-freearbitrageopportunitydoesnotexist32.Aninvestorwilltakeaslargeapositionaspossiblewhenanequilibriumpricerelationshipisviolated.Thisisanexampleof_________.A.adominanceargumentB.themean-varianceefficiencyfrontierC.arisk-freearbitrageD.thecapitalassetpricingmodelE.theSML33.TheAPTdiffersfromtheCAPMbecausetheAPT_________.A.placesmoreemphasisonmarketriskB.minimizestheimportanceofdiversificationC.recognizesmultipleunsystematicriskfactorsD.recognizesmultiplesystematicriskfactorsE.placesmoreemphasisonsystematicrisk34.ThefeatureoftheAPTthatoffersthegreatestpotentialadvantageovertheCAPMisthe______________.A.useofseveralfactorsinsteadofasinglemarketindextoexplaintherisk-returnrelationshipB.identificationofanticipatedchangesinproduction,inflation,andtermstructureaskeyfactorsinexplainingtherisk-returnrelationshipC.superiormeasurementoftherisk-freerateofreturnoverhistoricaltimeperiodsD.variabilityofcoefficientsofsensitivitytotheAPTfactorsforagivenassetovertimeE.superiormeasurementoftherisk-freerateofreturnoverhistoricaltimeperiodsandvariabilityofcoefficientsofsensitivitytotheAPTfactorsforagivenassetovertime35.Intermsoftherisk/returnrelationshipintheAPTA.onlyfactorriskcommandsariskpremiuminmarketequilibrium.B.onlysystematicriskisrelatedtoexpectedreturns.C.onlynonsystematicriskisrelatedtoexpectedreturns.D.onlyfactorriskcommandsariskpremiuminmarketequilibriumandonlysystematicriskisrelatedtoexpectedreturns.E.onlyfactorriskcommandsariskpremiuminmarketequilibriumandonlynonsystematicriskisrelatedtoexpectedreturns.36.Thefollowingfactorsmightaffectstockreturns:A.thebusinesscycle.B.interestratefluctuations.C.inflationrates.D.thebusinesscycle,interestratefluctuations,andinflationrates.E.therelationshipbetweenpastFREDspreads.37.Advantage(s)oftheAPTis(are)A.thatthemodelprovidesspecificguidanceconcerningthedeterminationoftheriskpremiumsonthefactorportfolios.B.thatthemodeldoesnotrequireaspecificbenchmarkmarketportfolio.C.thatriskneednotbeconsidered.D.thatthemodelprovidesspecificguidanceconcerningthedeterminationoftheriskpremiumsonthefactorportfoliosandthatthemodeldoesnotrequireaspecificbenchmarkmarketportfolio.E.thatthemodeldoesnotrequireaspecificbenchmarkmarketportfolioandthatriskneednotbeconsidered.38.PortfolioAhasexpectedreturnof10%andstandarddeviationof19%.PortfolioBhasexpectedreturnof12%andstandarddeviationof17%.RationalinvestorswillA.borrowattheriskfreerateandbuyA.B.sellAshortandbuyB.C.sellBshortandbuyA.D.borrowattheriskfreerateandbuyB.E.lendattheriskfreerateandbuyB.39.AnimportantdifferencebetweenCAPMandAPTisA.CAPMdependsonrisk-returndominance;APTdependsonanoarbitragecondition.B.CAPMassumesmanysmallchangesarerequiredtobringthemarketbacktoequilibrium;APTassumesafewlargechangesarerequiredtobringthemarketbacktoequilibrium.C.implicationsforpricesderivedfromCAPMargumentsarestrongerthanpricesderivedfromAPTarguments.D.CAPMdependsonrisk-returndominance;APTdependsonanoarbitragecondition,CAPMassumesmanysmallchangesarerequiredtobringthemarketbacktoequilibrium;APTassumesafewlargechangesarerequiredtobringthemarketbacktoequilibrium,implicationsforpricesderivedfromCAPMargumentsarestrongerthanpricesderivedfromAPTarguments.E.CAPMdependsonrisk-returndominance;APTdependsonanoarbitrageconditionandassumesmanysmallchangesarerequiredtobringthemarketbacktoequilibrium.40.Aprofessionalwhosearchesformispricedsecuritiesinspecificareassuchasmerger-targetstocks,ratherthanonewhoseeksstrict(risk-free)arbitrageopportunitiesisengagedinA.purearbitrage.B.riskarbitrage.C.optionarbitrage.D.equilibriumarbitrage.E.coveredinterestarbitrage.41.InthecontextoftheArbitragePricingTheory,asawell-diversifiedportfoliobecomeslargeritsnonsystematicriskapproachesA.one.B.infinity.C.zero.D.negativeone.E.Noneoftheseiscorrect.42.Awell-diversifiedportfolioisdefinedasA.onethatisdiversifiedoveralargeenoughnumberofsecuritiesthatthenonsystematicvarianceisessentiallyzero.B.onethatcontainssecuritiesfromatleastthreedifferentindustrysectors.C.aportfoliowhosefactorbetaequals.D.aportfoliothatisequallyweighted.E.aportfoliothatisequallyweightedandcontainssecuritiesfromatleastthreedifferentindustrysectors.43.TheAPTrequiresabenchmarkportfolioA.thatisequaltothetruemarketportfolio.B.thatcontainsallsecuritiesinproportiontotheirmarketvalues.C.thatneednotbewell-diversified.D.thatiswell-diversifiedandliesontheSML.E.thatisunobservable.44.Imposingtheno-arbitrageconditiononasingle-factorsecuritymarketimplieswhichofthefollowingstatementsI)theexpectedreturn-betarelationshipismaintainedforallbutasmallnumberofwell-diversifiedportfolios.II)theexpectedreturn-betarelationshipismaintainedforallwell-diversifiedportfolios.III)theexpectedreturn-betarelationshipismaintainedforallbutasmallnumberofindividualsecurities.IV)theexpectedreturn-betarelationshipismaintainedforallindividualsecurities.A.IandIIIarecorrect.B.IandIVarecorrect.C.IIandIIIarecorrect.D.IIandIVarecorrect.E.OnlyIiscorrect.45.Considerawell-diversifiedportfolio,A,inatwo-factoreconomy.Therisk-freerateis6%,theriskpremiumonthefirstfactorportfoliois4%andtheriskpremiumonthesecondfactorportfoliois3%.IfportfolioAhasabetaofonthefirstfactorand.8onthesecondfactor,whatisitsexpectedreturnA.%B.%C.%D.%E.%46.Theterm"arbitrage"referstoA.buyinglowandsellinghigh.B.shortsellinghighandbuyinglow.C.earningrisk-freeeconomicprofits.D.negotiatingforfavorablebrokeragefees.E.hedgingyourportfoliothroughtheuseofoptions.47.Totakeadvantageofanarbitrageopportunity,aninvestorwouldI)constructazeroinvestmentportfoliothatwillyieldasureprofit.II)constructazerobetainvestmentportfoliothatwillyieldasureprofit.III)makesimultaneoustradesintwomarketswithoutanynetinvestment.IV)shortselltheassetinthelow-pricedmarketandbuyitinthehigh-pricedmarket.A.IandIVB.IandIIIC.IIandIIID.I,III,andIVE.II,III,andIV48.ThefactorFintheAPTmodelrepresentsA.firm-specificrisk.B.thesensitivityofthefirmtothatfactor.C.afactorthataffectsallsecurityreturns.D.thedeviationfromitsexpectedvalueofafactorthataffectsallsecurityreturns.E.arandomamountofreturnattributabletofirmevents.49.IntheAPTmodel,whatisthenonsystematicstandarddeviationofanequally-weightedportfoliothathasanaveragevalueof(ei)equalto25%and50securitiesA.%B.625%C.%D.%E.%50.IntheAPTmodel,whatisthenonsystematicstandarddeviationofanequally-weightedportfoliothathasanaveragevalueof(ei)equalto20%and20securitiesA.%B.625%C.%D.%E.%51.IntheAPTmodel,whatisthenonsystematicstandarddeviationofanequally-weightedportfoliothathasanaveragevalueof(ei)equalto20%and40securitiesA.%B.625%C.%D.%E.%52.IntheAPTmodel,whatisthenonsystematicstandarddeviationofanequally-weightedportfoliothathasanaveragevalueof(ei)equalto18%and250securitiesA.%B.625%C.%D.%E.%53.Whichofthefollowingistrueaboutthesecuritymarketline(SML)derivedfromtheAPTA.TheSMLhasadownwardslope.B.TheSMLfortheAPTshowsexpectedreturninrelationtoportfoliostandarddeviation.C.TheSMLfortheAPThasaninterceptequaltotheexpectedreturnonthemarketportfolio.D.ThebenchmarkportfoliofortheSMLmaybeanywell-diversifiedportfolio.E.TheSMLisnotrelevantfortheAPT.54.Whichofthefollowingisfalseaboutthesecuritymarketline(SML)derivedfromtheAPTA.TheSMLhasadownwardslope.B.TheSMLfortheAPTshowsexpectedreturninrelationtoportfoliostandarddeviation.C.TheSMLfortheAPThasaninterceptequaltotheexpectedreturnonthemarketportfolio.D.ThebenchmarkportfoliofortheSMLmaybeanywell-diversifiedportfolio.E.TheSMLhasadownwardslope,theSMLfortheAPTshowsexpectedreturninrelationtoportfoliostandarddeviation,andtheSMLfortheAPThasaninterceptequaltotheexpectedreturnonthemarketportfolioareallfalse.55.Ifarbitrageopportunitiesaretoberuledout,eachwell-diversifiedportfolio'sexpectedexcessreturnmustbeA.inverselyproportionaltotherisk-freerate.B.inverselyproportionaltoitsstandarddeviation.C.proportionaltoitsweightinthemarketportfolio.D.proportionaltoitsstandarddeviation.E.proportionaltoitsbetacoefficient.56.Supposeyouareworkingwithtwofactorportfolios,Portfolio1andPortfolio2.Theportfolioshaveexpectedreturnsof15%and6%,respectively.Basedonthisinformation,whatwouldbetheexpectedreturnonwell-diversifiedportfolioA,ifAhasabetaofonthefirstfactorandonthesecondfactorTherisk-freerateis3%.A.%B.%C.%D.%E.%57.Whichofthefollowingis(are)trueregardingtheAPTI)TheSecurityMarketLinedoesnotapplytotheAPT.II)Morethanonefactorcanbeimportantindeterminingreturns.III)AlmostallindividualsecuritiessatisfytheAPTrelationship.IV)Itdoesn'trelyonthemarketportfoliothatcontainsallassets.A.II,III,andIVB.IIandIVC.IIandIIID.I,II,andIVE.I,II,III,andIV58.Inafactormodel,thereturnonastockinaparticularperiodwillberelatedtoA.factorrisk.B.non-factorrisk.C.standarddeviationofreturns.D.bothfactorriskandnon-factorrisk.E.Thereisnorelationshipbetweenfactorrisk,riskpremiums,andreturns.59.WhichofthefollowingfactorsdidChen,RollandRossnotincludeintheirmultifactormodelA.ChangeinindustrialproductionB.ChangeinexpectedinflationC.ChangeinunanticipatedinflationD.Excessreturnoflong-termgovernmentbondsoverT-billsE.Neitherthechangeinindustrialproduction,changeinexpectedinflation,changeinunanticipatedinflation,norexcessreturnoflong-termgovernmentbondsoverT-billswereincludedintheirmodel.60.WhichofthefollowingfactorsdidChen,RollandRossincludeintheirmultifactormodelA.ChangeinindustrialwasteB.ChangeinexpectedinflationC.ChangeinunanticipatedinflationD.ChangeinexpectedinflationandChangeinunanticipatedinflationE.Allofthesefactorswereincludedintheirmodel61.WhichofthefollowingfactorswereusedbyFamaandFrenchintheirmulti-factormodelA.Returnonthemarketindex.B.Excessreturnofsmallstocksoverlargestocks.C.Excessreturnofhighbook-to-marketstocksoverlowbook-to-marketstocks.D.Allofthesefactorswereincludedintheirmodel.E.Noneofthesefactorswereincludedintheirmodel.62.Considerthesingle-factorAPT.StocksAandBhaveexpectedreturnsof12%and14%,respectively.Therisk-freerateofreturnis5%.StockBhasabetaof.Ifarbitrageopportunitiesareruledout,stockAhasabetaof__________.A.B.C.D.E.63.Considertheone-factorAPT.Thestandarddeviationofreturnsonawell-diversifiedportfoliois19%.Thestandarddeviationonthefactorportfoliois12%.Thebetaofthewell-diversifiedportfolioisapproximately__________.A.B.C.D.E.64.Blackarguesthatpastriskpremiumsonfirm-characteristicvariables,suchasthosedescribedbyFamaandFrench,areproblematicbecause________.A.theymayresultfromdatasnoopingB.theyaresourcesofsystematicriskC.theycanbeexplainedbysecuritycharacteristiclinesD.theyaremoreappropriateforasingle-factormodelE.theyaremacroeconomicfactors65.Multifactormodelsseektoimprovetheperformanceofthesingle-indexmodelbyA.modelingthesystematiccomponentoffirmreturnsingreaterdetail.B.incorporatingfirm-specificcomponentsintothepricingmodel.C.allowingformultipleeconomicfactorstohavedifferentialeffects.D.modelingthesystematiccomponentoffirmreturnsingreaterdetail,incorporatingfirm-specificcomponentsintothepricingmodel,andallowingformultipleeconomicfactorstohavedifferentialeffects.E.noneofthesestatementsaretrue.66.MultifactormodelssuchastheoneconstructedbyChen,Roll,andRoss,canbetterdescribeassets'returnsbyA.expandingbeyondonefactortorepresentsourcesofsystematicrisk.B.usingvariablesthatareeasiertoforecastexante.C.calculatingbetacoefficientsbyanalternativemethod.D.usingonlystockswithrelativelystablereturns.E.ignoringfirm-specificrisk.67.ConsiderthemultifactormodelAPTwiththreefactors.PortfolioAhasabetaofonfactor1,abetaofonfactor2,andabetaofonfactor3.Theriskpremiumsonthefactor1,factor2,andfactor3are3%,5%and2%,respectively.Therisk-freerateofreturnis3%.TheexpectedreturnonportfolioAis__________ifnoarbitrageopportunitiesexist.A.%B.%C.%D.%E.%68.ConsiderthemultifactorAPT.Theriskpremiumsonthefactor1andfactor2portfoliosare6%and4%,respectively.Therisk-freerateofreturnis4%.StockAhasanexpectedreturnof16%andabetaonfactor1of.StockAhasabetaonfactor2of________.A.B.C.D.E..9569.Considerawell-diversifiedportfolio,A,inatwo-factoreconomy.Therisk-freerateis5%,theriskpremiumonthefirstfactorportfoliois4%andtheriskpremiumonthesecondfactorportfoliois6%.IfportfolioAhasabetaofonthefirstfactorandonthesecondfactor,whatisitsexpectedreturnA.%B.%C.%D.%E.%70.ConsiderasinglefactorAPT.PortfolioAhasabetaofandanexpectedreturnof22%.PortfolioBhasabetaofandanexpectedreturnof17%.Therisk-freerateofreturnis4%.Ifyouwantedtotakeadvantageofanarbitrageopportunity,youshouldtakeashortpositioninportfolio__________andalongpositioninportfolio_______.A.A;AB.A;BC.B;AD.B;BE.A;therisklessasset71.ConsiderthesinglefactorAPT.PortfolioAhasabetaofandanexpectedreturnof12%.PortfolioBhasabetaofandanexpectedreturnof13%.Therisk-freerateofreturnis5%.Ifyouwantedtotakeadvantageofanarbitrageopportunity,youshouldtakeashortpositioninportfolio_________andalongpositioninportfolio_________.A.A;AB.A;BC.B;AD.B;BE.Noarbitrageopportunityexists.72.Considertheone-factorAPT.Thevarianceofreturnsonthefactorportfoliois9%.Thebetaofawell-diversifiedportfolioonthefactoris.Thevarianceofreturnsonthewell-diversifiedpor