There are two systematic factors in a hypothetical economy. The GDP factor is denoted by f1 and the Interest Rate factor is denoted by f2. A, B, C, and D are four portfolios in this economy. They have the following structure of returns:

RAt = 7%+1.0f1t+1.0f2t

RBt= 8%+2.0f1t +0.5f2t

RCt = 1.5%+f1t

RDt = 8%+2.0f2t

The means of both factors are 0. The standard deviation of fi is 30% and the standard deviation of f2 is 10%. The two factors are not correlated with each other. The risk free rate is 0%.

What is the maximum amount of money you can make, without any personal investment, and without any risk, using these assets?

a. $1.5 by investing $100 in asset C and borrowing from the riskless rate

b. None of these options are correct

c. $0, as there are no arbitrage opportunities

d. Not enough information

e. Infinity (if infinite borrowing is allowed) as there are arbitrage opportunities