12. The following information applies to questions 12-14. Suppose you divide your wealth equally between three property types: Office, Multifamily, and Hospi- tality. The mean and standard deviation of the returns on these three property types are as follows The Property Type Expected Return Std. Dev Office 7.3% 7.4% Multifamily 8.0% 6.3% Hospitality 9.3% 8.4% correlation between the return on office and multifamily is 41%. The returns on office and hospitality properties are uncorrelated as are the returns on multifamily and hospitality What is the expected return on your portfolio? (a) 7.37% (b) 8.00% (e) 8.20% (d) 8.41% (6) None of the above are within 10 basis points of the portfolio expected return 13. What is the standard deviation of your portfolio return () 7.37% (b) 4.62% () 4.75% (a) 0.23% () None of the above are within 10 basis points of the standard deviation of the portfolio return 14. Now suppose that you can choose whatever weights you want on each property type provided that they are positive. That is, you cannot short a property type. What is the maximum expected return you can achieve and what is the weight on office in that portfolio? (a) 10.4%, 50% (b) 10.4%, 0% (c) 9.3%, 50% a) 9.3%, 0%