An Arbitrage Portfolio Exists,including an Asset a with a Total $10.1 \%$

Multiple Choice

An arbitrage portfolio exists,including an asset A with a total market value of $60 000 and 100 other assets with a combined market value of $850 000.Assume that asset A is mispriced,with a pricing error of 17%,while the remainder of the assets are priced correctly according to the factor structure.What is the arbitrage portfolio pricing error?

A) $10.1 \%$
B) $94.5 \%$
C) $1.1 \%$
D) $11.2 \%$