Which one of the followings is an arbitrage? O a. Invest $100,000 in a riskless asset that pays 3% per annual. O b. Borrow $10,000 from a riskless asset with an annual risk-free rate of 5%, and invest $10,000 in a market index with an expected return of 15%. O c. Short $1 in a portfolio with a 5% expected return and a 0.5 beta and long $1 in a portfolio with a 7% expected return and a 0.5 beta. o d. Short a portfolio with a 10% expected retum and a 1 beta and use all the proceeds to invest in a portfolio with a 6% expected return and a 1 beta