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=6%+1.0f1t+1.0f2t+A.t

RBt = 8 %+2.0f1t +0.5f2t + E B,t

Rct = 1.9%+f1t

RDt= 3.7%+2.0f2t

The means of both factors are 0. The standard deviation of f1 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%. Are there any arbitrage opportunities among these assets?

a. There are NO arbitrage opportunities

b. Yes there are arbitrage opportunities

c. Not enough information

d. It depends on whether the risk premium is 1.9 or 3.7