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1 2 Stocks A and B have the following returns: (Click on the following icon in order to copy its contents into a spreadsheet.) Stock A Stock B 0.09 0.06 0.05 0.02 3 0.14 0.05 4 -0.03 0.01 5 -0.03 a. What are the expected returns of the two stocks? b. What are the standard deviations of the returns of the two stocks? c. If their correlation is 0.45, what is the expected return and standard deviation of a portfolio of 74% stock A and 26% stock B? 0.08 Using the data the following table, and the fact that the correlation of A and B is 0.77, calculate the volatility (standard deviation) of a portfolio that is 60% invested in stock A and 40% invested in stock B. (Click on the following icon in order to copy its contents into a spreadsheet.) Year 2008 2009 2010 2011 2012 2013 Realized Returns Stock A Stock B 3% 16% 19% 29% 9% 9% -7% -6% 1% - 11% 15% 28% The standard deviation of the portfolio is (Round to two decimal places.)