QUESTION 4 Assume that the true risk return relation is as follows (Rp) = 0.12 +0.1 Betap. Further, assume that investors agree on the expected returns and factor sensitivities of the three highly diversified portfolios, A B, and given in the following table: Portfolio Expected Return Factor Sensitivity A 0.20 0.80 B 0.15 1.00 C 0.24 1.20 Assuming that one-factor model is correct and based on the data provided, what is the best way to take advantge of this arbitrage opportunity? O... By shorting a portfolio invested som in A and 50% in and using proceeds to purchase portfolio b. By shorting a portfolio invested 50% in A and 50% in C and using proceeds to purchase portfolio B. Oc By shorting portfolio B and using proceeds to purchase portfolio invested 50% in A and 50% inc. d. By shorting portfolio A and using proceeds to purchase portfolio invested 50% in B and 50% in C