Consider a single-factor APT, and two well-diversified portfolios: Well-diversified Portfolios A B E(r) 16% 12% B 1 0.8 The risk-free rate of return is 6%. There is an arbitrage opportunity based on the information above. Which one of the following options could be it? Oa. Short 0.8 portfolio A, Long 1 risk-free asset, Short 0.2 portfolio B O b. Long 0.8 portfolio A, Long 0.2 risk-free asset, Short 1 portfolio B Oc. Short 1 portfolio A, Long 0.2 risk-free asset, Long 0.8 portfolio B Od. Long 0.2 portfolio A, Short 1 risk-free asset, Long 0.8 portfolio B