Use the information for the question(s) below. Consider a one-factor economy. Portfolio A has a beta of 1.8 on the factor and portfolio B has a beta of 1.2 on the factor. The expected (annual) returns on portfolios A and B are 4% and 12%, respectively. Assume that the (annual) risk-free rate is 3% and that arbitrage opportunities exist. Suppose you invested $100,000 in the risk-free asset, $100,000 in portfolio B, and sold short $200,000 of portfolio A. Your expected profit from this strategy in a year would be closest to: None of the other answers are correct. $7,000 $23,000 $0 $1,000