Portfolio A has a beta of 0.4 and an expected return of 12%. Portfolio B has a beta of 1.2 and an expected return of 20%. The risk-free rate of return is 8%. Does an arbitrage opportunity exist?

Group of answer choices

Yes, because portfolio A has a higher reward to risk ratio.

Yes, because portfolio B has a higher reward to risk ratio.

Cannot be determined.

No, because the two portfolios have the same reward to risk ratio.