Q8 (4 pts) Suppose the market risk premium is 7%, SMB is 3%, and HML is 5%. There are two stocks in the market: Stock A has an expected return of 20% with M=1.2,SMB=2,HML=1. Stock B has an expected return of 10% with M=0.5,SMB=0,HML=1. The risk-free rate is 0%. Which of the following portfolios will have the highest three-factor alpha based on the Fama-French three factor model? A. 100% in Stock A B. 100% in Stock B C. 25% in Stock A and 75% in Stock B D. 75% in Stock A and 25% in Stock B E. 50% in Stock A and 50% in Stock B