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