You invest $1000 across two risky assets. Asset A has an expected rate of return of 0.12 and a standard deviation of 0.20 and Asset B has an expected rate of return of 0.15 and a standard deviation of 0.25. Assets A and B are perfectly positively correlated. What percentages of your money must be invested in Asset A and Asset B, respectively, to form a portfolio with a standard deviation of 0.23?

Group of answer choices

35% and 65%

40% and 60%

50% and 50%

55% and 45%

Cannot be determined.