Suppose securities A and B are characterized by the following expected return and volatility: Furthermore, suppose the the returns of the two securities are perfectly negatively correlated. That is AB=1. (a) Produce a diagram that shows the investment opportunity set formed by portfolios that combine the two securities. What is the efficient frontier in this case?5 Suppose securities A and B are characterized by the following expected return and volatility: Furthermore, suppose the the returns of the two securities are perfectly negatively correlated. That is AB=1. (a) Produce a diagram that shows the investment opportunity set formed by portfolios that combine the two securities. What is the efficient frontier in this case?5