Consider a single factor APT. Portfolio A has a beta of 1.0 and an expected return of 12%. Portfolio B has a beta of 0.8 and an expected return of 10%. Both A and B are well diversified. The risk-free rate of return is 1%. Which of the following could be an arbitrage portfolio? Short $1 of A and $1.25 of B, long $2.25 of the riskless asset long $2.25 of B, short $1 of A and $1.25 the riskless asset long $1.25 of A, short $1 of B and $0.25 the riskless asset Short $1 of A and $0.25 the riskless asset, long $1.25 of B Short $1.25 of A and $1 the riskless asset, long $2.25 of B