Assume that the following portfolios A and B are well diversified, with E[r_a] = 9% and E[r_b] = 11%. In a one factor economy with b_a= 0.8 and b_b = 1.2 and a risk-free rate of 8% the following would be true:

		an arbitrage opportunity exists by borrowing and investing in portfolio B.
		an arbitrage opportunity exists by going long in a combination of the risk-free asset and portfolio B and short in portfolio A.
		an arbitrage opportunity exists by borrowing and investing in portfolio A.
		an arbitrage opportunity exists by going long in a combination of the risk-free asset and portfolio A and short in portfolio B.