Consider the single factor CAPM and the following two portfolios' and risk-free asset's expected returns and betas:

Assets E(r) Beta

Risk-free asset 2% 0

Portfolio-X 16% 1.2

Portfolio-Y 6% 0.4

You can build an arbitrage portfolio by ______________________________.

Short selling in X and invest 1/2 of the sale proceeds in Y and the rest in the risk-free asset.

Short selling in Y and invest 1/3 of the sale proceeds in X and the rest in the risk-free asset.

Short selling in Y and borrowing the same amount of money in risk-free rate and invest all of the money in X.

Short selling in Y and borrowing double amount of money in risk-free rate and invest all of the money in X.