Portfolio Standard Deviation Security F has an expected return of 12 percent and a standard deviation of 34 percent per year. Security G has an expected return of 18 percent and a standard deviation of 50 percent per year.

a. What is the expected return on a portfolio composed of 30 percent of security F and 70 percent of security G?

b. If the correlation between the returns of security F and security G is .2, what is the standard deviation of the portfolio described in part (a)? LO.1