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 Defensive Volatility 6% per annum 18% per annum Return 5% per annum 11% per annum Growth The correlation between growth and defensive investments is 0.05 Calculate the proportion of risk allocated to Defensive investments in this portfolio. 4.56% None of the other answers 6.78% O 7.39% O 5.65%