Lin Storti, a U.S. citizen, is considering investing in both U.S. and Zanistan common stock index funds. Lin estimates the following market characteristics:
U.S. market expected return ...........................................20%
U.S. market standard deviation .......................................18
Zanistan market expected return ......................................30
Zanistan market standard deviation ..................................30
U.S.-Zanistan expected currency return ............................. 0
U.S.-Zanistan currency return standard deviation ................10
Zanistan domestic return and U.S.-Zanistan
currency return correlation .......................................... 0.15
Further, Lin estimates that the U.S. and Zanistan markets are uncorrelated as is the U.S. market return (or the Zanistan market return) and the U.S.-Zanistan currency exchange rate. If Lin plans to hold a portfolio with 60% invested in the U.S. index fund and 40% invested in the Zanistan index fund, what is the expected return and standard deviation of Lin's portfolio?