Suppose that the market risk premium is 5% and the risk-free rate is 4%. Risky assets A and B are perfectly negatively correlated Asset A has a standard deviation of returns of 40%, while asset B has a standard deviation of returns of 60%. According to the CAPM. What should be the expected return of a zero variance portfolio constructed of assets A and B? 3% 5% O 2% 04% Cannot be determined