Suppose securities A and B are characterized by the following expected return and volatility: Security A E(R) = 13.6% Security A volatility = 15.4% Security B E(R) = 15.0% Security B volatility = 23.0% Furthermore, suppose the the returns of the two securities are perfectly negatively correlated. That is p=-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? (b) Find the portfolio weights associated to the two securities that allow you to build a zero-risk portfolio. That is a portfolio such that sigma(p)=0. (c) What is the return of the zero-risk portfolio (d) What is the only risk-free rate consistent with no arbitrage