Given a text T, and several options, according to the question posed in the text T to choose the most appropriate option from the options as the answer, please directly output the most appropriate option, do not need to output the explanation.

Carlos Altuve is a manager-of-managers at an investment company that uses quantitative models extensively. Altuve seeks to construct a multi-manager portfolio using some of the funds managed by portfolio managers within the firm. Maya Zapata is assisting him.Altuve uses arbitrage pricing theory (APT) as a basis for evaluating strategies and managing risks. From his earlier analysis, Zapata knows that Funds A and B in Exhibit 1 are well diversified. He has not previously worked with Fund C and is puzzled by the data because it is inconsistent with APT. He asks Zapata gather additional information on Fund C's holdings and to determine if an arbitrage opportunity exists among these three investment alternatives. Her analysis, using the data in Exhibit 1, confirms that an arbitrage opportunity does exist.
| Exhibit l.Expected Returns and Factor Sensitivities(One-Factor Mode) |
| Fund | Expected Return | Factor Sensitivity |
| A | 0.02 | 0.5 |
| B | 0.04 | 1.5 |
| C | 0.03 | 0.9 |


The manager of Fund C makes some modifications to his portfolio and eliminates the arbitrage opportunity. Using a two-factor model, Zapata now estimates the three funds'sensitivity to inflation and GDP growth. That information is presented in Exhibit 2. Zapata assumes a zero value for the error terms when working with the selected two-factor model.
| Exhibit 2.Expected Returns and Factor Sensitivities(Two-Factor Mode) |
| Fund | Factor Sensitivity | Expected Return |
| Inflation | GDP Growth |
| A | 0.02 | 0.5 | 1.0 |
| B | 0.04 | 1.6 | 0.0 |
| C | 0.03 | 1.0 | 1.1 |


Altuve asks Zapata to calculate the return for Portfolio AC, composed of a 60% allocation to Fund A and 40% allocation to Fund C, using the surprises in inflation and GDP growth in Exhibit 3.
| Exhibit 3.Selected Data on Factors |
| Factor | Research Staff Forecast | Actual Value |
| Inflation | 2.0% | 2.2% |
| GDP Growth | 1.5% | 1.0% |


Finally, Altuve asks Zapata about the return sensitivities of Portfolios A, B, and C given the information provided in Exhibit 3.
Which of the following is not a key assumption of APT, which is used by Altuve to evaluate strategies and manage risks?
Option A:A factor model describes asset returns.
Option B:Asset-specific risk can be eliminated through diversification.
Option C:Arbitrage opportunities exist among well-diversified portfolios.

Answer: C