Portfolio A has a beta of 0.6 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? If so, how could you take advantage of it? (Assume that the borrowing rate is the risk-free rate.)

Group of answer choices

Yes, buy $X portfolio A, short $2X portfolio B, and invest $X in the risk free asset

Yes, buy $X portfolio B, short $2X portfolio A, and invest $X in the in the risk free asset

Yes, buy $2X portfolio B, short $X portfolio A, and borrower $X from a bank

Yes, buy $2X portfolio A, short $X portfolio B, and borrow $X from the bank

No.