We study the problem of {\em properly} learning large margin halfspaces in the agnostic PAC model. In more detail, we study the complexity of properly learning $d$-dimensional halfspaces on the unit ball within misclassification error $α\cdot \mathrm{OPT}_γ + ε$, where $\mathrm{OPT}_γ$ is the optimal $γ$-margin error rate and $α\geq 1$ is the approximation ratio. We give learning algorithms and computational hardness results for this problem, for all values of the approximation ratio $α\geq 1$, that are nearly-matching for a range of parameters. Specifically, for the natural setting that $α$ is any constant bigger than one, we provide an essentially tight complexity characterization. On the positive side, we give an $α= 1.01$-approximate proper learner that uses $O(1/(ε^2γ^2))$ samples (which is optimal) and runs in time $\mathrm{poly}(d/ε) \cdot 2^{\tilde{O}(1/γ^2)}$. On the negative side, we show that {\em any} constant factor approximate proper learner has runtime $\mathrm{poly}(d/ε) \cdot 2^{(1/γ)^{2-o(1)}}$, assuming the Exponential Time Hypothesis.