Given the following information on securities E and F, calculate the expected return and standard deviation of returns on a portfolio consisting of 40% invested in E and 60% invested in F.
Security E | Security F | |
| Expected Return | 12% | 15% |
| Standard Deviation of Returns | 10% | 20% |
| Correlation coefficient of returns | –0.50 | |
a. 13.5%; 8.7%
b. 13.8%; 10.6%
c. 13.5%; 15%
d. 13.8%; 14.4%
Answer: b. 13.8%; 10.6%
Business
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