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Consider a market in which the single-factor model holds. Portfolio A has a beta of 1.0 on the factor and its expected return is 11%. Portfolio B has a beta of 2.0 on the factor and its expected return is 17%. Assume that the risk-free rate is 6%. Which of the following is the correct arbitrage strategy? a. Short-sell $100,000 of the risk-free asset, short-sell $100,000 of portfolio B and invest $200,000 in portfolio A b. Invest $100,000 in the risk-free asset, invest $100,000 in portfolio B and short-sell $200,000 of portfolio A c. Invest $100,000 in the risk-free asset, invest $200,000 in portfolio B and short-sell $100,000 of portfolio A