Assume that the following portfolios A and B are well diversified, with E[ra] = 9% and E[rb] = 11%. In a one factor economy with ba= 0.8 and bb = 1.2 and a risk-free rate of 8% the following would be true: an arbitrage opportunity exists by borrowing and investing in portfolio B. an arbitrage opportunity exists by going long in a combination of the risk-free asset and portfolio B and short in portfolio A. an arbitrage opportunity exists by borrowing and investing in portfolio A. an arbitrage opportunity exists by going long in a combination of the risk-free asset and portfolio A and short in portfolio B.