Your answer is incorrect. The expected return of Security Ais 12% with a standard deviation of 15%. The expected return of Security Bis 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? 100% invested in Ais efficient O 59% in A and 41% B is efficient O 41% in A and 59% B is efficient O 100% invested in Bis efficient