EFG Ltd has available two investment opportunities with the following risk return characteristics XYZ Ltd plans to invest 65% of its available funds in Security A, and 35% in B. The directors believe that the correlation coefficient between the returns of the securities is +0.2. (i) Calculate the expected return of the portfolio. (ii) Calculate the risk of the portfolio. (iii) Comment on your calculations in part (ii), in the context of the risk reducing effects of diversification. (iv) Suppose the correlation coefficient between A and B was -1.0. How should XYZ Ltd invest its funds in order to obtain a zero risk portfolio? (v) According to CAPM, "The only risk that matters to an investor is non-diversifiable risk Do you agree with the comment? Discuss