Suppose that assets A, B, and C are correctly priced and span the asset market, i.e., no arbitrage opportunities are possible by investing in A, B, and C. Each of these three assets is subject to two risk factors, 1 and 2 . No assets or portfolios have any idiosyncratic risk components. You have been given the following information about the expected returns and factor loadings of assets A, B, and C. Suppose that Asset D has factor loadings bD1=0.6,bD2=0.2, and its expected return is E[RD]=0.04. Which one of the following zero-net-investment strategies is most likely to generate arbitrage profits? A. Buy long $100 worth of Asset D, sell short $100 worth of Asset A, buy long $40 worth of Asset B, and sell short $40 worth of the risk-free asset. . Buy long $100 worth of Asset D, sell short \$96 worth of Asset A, buy long \$28 worth of Asset B, and sell short \$32 worth of the risk-free asset. c. Sell short $100 worth of Asset D, buy long $400 worth of Asset C, sell short $40 worth of Asset B, and sell short $260 worth of the risk-free asset. o. Sell short $100 worth of Asset D, buy long \$96 worth of Asset A, sell short $28 worth of Asset B, and buy long $32 worth of the risk-free asset