Consider the data for a one-factor economy. The risk-free rate is 0.03. Well diversified portfolio A has expected return of 0.06 and beta of 3. Well diversified portfolio B has expected return of 0.08 and beta of 2. How do you construct a portfolio with zero-investment, zero-beta, and positive risk premium?

		There is no arbitrage opportunity
		A: -50%, B: 100%, Risk-free: -50%
		A: 100%, B: -150%, Risk-free: 50%
		A: 100%, B: -66.67%, Risk-free: -33.33%
		A: -66.67%, B: 100%, Risk-free: -33.33%