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"You have two assets in your portfolio. The betas for the assets are 1.4 and...

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"You have two assets in your portfolio. The betas for the assets are 1.4 and 1.2 respectively, while the expected returns are 12% and 13% respectively. If you had to construct a synthetic asset from your portfolio assets to arbitrage against a stock with beta 1.1 and expected return 10%, what weights should you use for the construction?" "(0.5,0.5)" O "(-1,+2)" O "(-0.5,+1.5)" None of the above

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