#2 You are evaluating a portfolio of the following two securities. British American Expected returns 12.5% 10.8 Std. dev. 26.4% 22.5 a) If the two securities had a correlation of 0.72 in 1990, what are the expected returns and Std. dev. of the portfolio consisting of 25% British and 75% American? b) If the correlation increased to 0.85 in 2000, what are the expected returns and Std. dev. of the same portfolio