Portfolio P is on the mean-variance efficient set. Consider the following information and answer the question below. Asset Portfolio P Security A Security B E(r) 10% 12% ?? Volatility, Cov(rasset, rp) 0.40 0.16 0.80 0.20 0.50 0.08 What is the expected return of Security B? 5% c. 8% b. 6% d. 11%