Suppose you have a two-asset portfolio with s1 = .05 and s2 = .08. Assume the correlation coefficient of returns on the two assets is -1.0. Assuming you must hold positive amounts of both securities, what fraction of the portfolio should you hold in asset 2 to reduce the risk of the portfolio to zero.

(a) .62

(b) .5

(c) .42

(d) .38

Explain your answer with logical calculations.