(4 MARKS) Assume that all securities in the market follow a single index model. Consider well-diversified portfolio X with E(rx)=15% and Bx =0.8 and well-diversified portfolio Y with E(ry)=21% and By =2.0. Do you have an arbitrage strategy in this market if risk free return is 3%? What could be an arbitrage strategy if your answer is "yes"? O a. No. Ob. Yes. Short portfolio X and buy portfolio C, where portfolio C has T-bills and portfolio Y with weights 0.4 and 0.6, respectively OC. Yes. Short portfolio Y and buy portfolio X Od. Yes. Short portfolio C and buy portfolio X, where portfolio C has T-bills and portfolio Y with weights 0.6 and 0.4, respectively O e. Yes. Short portfolio C and buy portfolio Y, where portfolio C has T-bills and portfolio X with weights -1.5 and 2.5, respectively