Given the Following Information on Securities E and F, Calculate

question 8

Multiple Choice

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% 5%
Standard Deviation of Returns 10% 20%
Correlation coefficient of returns -0.50

• A)13.5%;15%
• B)13.8%;14.4%
• C)13.8%;10.6%
• D)13.5%;8.7%