The table below provides factor risk loadings and factor risk premia for a two factor model for a particular portfolio where factor portfolio 1 tracks GDP and factor portfolio 2, IR, tracks unexpected changes in interest rates. The risk-free rate RF is 1.5%.

Portfolio ABC	Factor Loading		Risk Factor Portfolio	Risk Premium
GDP	-1.2		GDP	1.3%
IR	0.5		IR	6%

A trader estimates the average return of the asset to be 3.2% and believes that he is correct. Describe an arbitrage strategy.

a.		Buy the asset, buy GDP, short IR, borrow risk-free
b.		Buy the asset, short GDP, buy IR, lend risk-free
c.		Short the asset, buy GDP, short IR, borrow risk-free
d.		Short the asset, buy GDP, short IR, lend risk-free
e.		None of the above