Consider the data for a one-factor economy. The risk-free rate is 0.02. Well diversified portfolio A has expected return of 0.07 and beta of 4. Well diversified portfolio B has expected return of 0.045 and beta of 0.0125. How do you construct a portfolio with zero-investment, zero-beta, and positive risk premium?

		A: 100%, B: -200%, Risk-free: 100%
		A: 100%, B: -50%, Risk-free: -50%
		A: -50%, B: 100%, Risk-free: -50%
		There is no arbitrage opportunity
		A: -200%, B: 100%, Risk-free: 100%