Consider an investor who wishes to invest 40% to defensive investments and 60% allocation to growth investments. The investor has worked out the forecasted volatility, expected return and correlation between the two types of investments as below:

Investments	Volatility	Return
Defensive	6% per annum	5% per annum
Growth	18% per annum	11% per annum

The correlation between growth and defensive investments is 0.05

Calculate the proportion of risk allocated to Defensive investments in this portfolio.

Group of answer choices

A) 6.78%

B) 5.65%

C) None of the other answers

D) 7.39%

E) 4.56%