at 22 Considering CAPM when firm-specific risk is neglected, which of the followings does not make sense with respect to the best of a company's stock? (whether these companies are actually publicly traded is not the issue here, assume they all are) O Bank of Montreal has a bota of 1 Ob Hydro Quebec has a bota bolween 0 and 1 Oc Bugatti Automobile has a beta larger than 1 Od A Michelin starred restaurants holding company has a negative bota ure 22 Which one of the followings is an arbitrage? O a Invest $100,000 in a riskless asset that pays 3% per annual Ob Borrow $10,000 from a riskless asset with an annual risk free rate of 5% and invest $10,000 in a market index with an expected return of 15% Oc Short $1 in a portfolio with a 5% expected retum and a 0.5 beta and long $1 in a portfolio with a 7% expected retum and a 0.5 beta od Short a portfolio with a 10% expected return and a 1 beta and use all the proceeds to invest in a portfolio with a 6% expected return and a 1 beta