0.87 pts Question 17 If the risk-free rate stands at 5% and we invest in the tangency portfolio consisting of around 1/3 in the US index and 2/3 in EAFE, what are the expected return and standard deviation of this portfolio? The correlation of returns between Asset A and Asset B can be characterized as shown in the table. Average Return Standard Deviation Correlation with US index US index 11.0% 15.5% 1.00 EAFE 14.6% 18.2% 0.47 Source: Solnik (1996). Data for 1971 - 1994. All figures annualized in USD. O 12.8% and 16.1%, respectively O 16.1% and 12.8%, respectively 13.4% and 15.3%, respectively O 15.3% and 13.4%, respectively