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? O 5% 3% Cannot be determined 04% O 2%