Suppose a single-factor model is the true model. Consider two funds to invest: A and B. Based on the history data, fund As return is rA = 0.14 + 1.2F1 and fund Bs return follows rB = 0.113 + 1.08F1. Suppose the risk-free asset has a rate of 4%. Which of the following is an arbitrage portfolio?

A. buy 1 million dollars fund A; short 0.9 million dollars fund B

B. short 0.9 million dollars fund A and 0.1 million dollars risk-free asset; buy 1 million dollars fund B

C. buy 0.9 million dollars fund A and 0.1 million dollars risk-free asset; short 1 million dollars fund B