The expected return of Security A is 12% with a standard deviation of 15%. The expected return of Security B is 9% with a standard deviation of 10%. Securities A and B have a correlation of 0.4. The market return is 11% with a standard deviation of 13% and the risk-free rate is 4%. Which one of the following is not an efficient portfolio, as determined by the lowest Sharpe ratio? O 100% invested in A is efficient O 59% in A and 41% Bis efficient O 41% in A and 59% Bis efficient 100% invested in Bis efficient