The arbitrage pricing theory states that the risk premium on assets in a one-factor model must be directly proportional to the asset's beta, i.e. its sensitivity to the factor. However, you observe a situation where three well-diversified portfolios seem to violate this relation The three portfolios (A, B, and C) have betas equal to 1, 2, and 3, respectively, and expected returns equal to 4%,6%, and 10%, Which of the following portfolios represent an arbitrage? You get positive points for the correct answers, you get negative points for the incorrect answers. Ticking all choices will result in zero points Select one or more: Short two units of portfolio B. Buy one unit of portfolio A and one unit of portfolio C. Short one unit of portfolio B. Buy one unit of portfolio A and one unit of portfolio C. Short one unit of portfolio A and one unit of portfolio C. Buy one unit of portfolio B. Short one unit of portfolio A and one unit of portfolio C. Buy two units of portfolio B. Short one unit of each portfolio Buy one unit of each portfolio