. Consider the following data:

Portfolio	Expected return	beta
a	10%	1.1
b	14%	1.4
c	18%	2.0

Portfolios a, b, and c are well diversified. If there is an arbitrage opportunity, how will it be done?

A. Buy stocks a and short stocks b and c,

B. buy stocks a and b and short c,

C. buy stock b and short a and c.

D. There is no arbitrage opportunity.

Please can somebody answer this? I think there is no arbitrage opportunity since 1 of the betas has to be equal to 0. Please correct me if I'm wrong