Security A has an expected retum of 8% and a standard deviation of 7%. Security B

has an expected retum of 10% and a standard deviation of 9.4%. The correlation

coefficient between A and Bis 1 (i.e., the two stocks are perfectly positively correlated).

If the standard deviation of the portfolio consisting of security A and B is 6.6%, what

fraction of the total money has been invested in security B? (Assume short selling is allowed)

(Note: Please retain at least 4 decimal places in your calculations and 2 decimal places in the final answer)

The fraction of the total money has been invested in security B is ? %.