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Consider a two-factor APT. The expected return on the factor-1 portfolio is 8%. The expected return on the factor-2 portfolio is 10%. The risk-free rate is 4%. Portfolio A has a beta of 0.75 with respect to the first factor and a beta of 1.5 with respect to the second factor and its expected return is 15%. Which of the following is the correct arbitrage strategy? a. Invest $75,000 in factor portfolio 1, invest $150,000 in factor portfolio 2, short-sell $125,000 of the risk-free asset and short-sell $100,000 of portfolio A b. Short-sell $75,000 of factor portfolio 1, short-sell $150,000 of factor portfolio 2, invest $125,000 in the risk-free asset, invest $100,000 in portfolio A c. Invest $150,000 in factor portfolio 1 , invest $75,000 in factor portfolio 2 , short-sell $125,000 of the risk-free asset, short-sell $100,000 of portfolio A