Question: 0 Mark Security A has an expected return of 8% and a standard deviation of 7.9%. Security B has an expected return of 10% and

0 Mark Security A has an expected return of 8% and a standard deviation of 7.9%. Security B has an expected return of 10% and a standard deviation of 9.5%. The correlation coefficient between A and B is 1 (i.e., the two stocks are perfectly positively correlated). If the standard deviation of the portfolio consisting of security A and B is 6.9%, what fraction of the total money has been invested in security B? (Assume short selling is allowed) (Note: Please retain at least 4 decimal places in your calculations and 2 decimal places in the final answer) The fraction of the total money has been invested in security Bis Ursue Previous page 5 6 7 8 9 Ned para

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