20. Calculate the risk on expected return of the following portfolio assuming the portfolio consists of the following securities and market values. Security A B Market Values RM600,000 RM400,000 Standard Deviation 0.4 0.8 The correlation coefficient of the two securities is equal to 0.6. A) 0.4822 B) 0.5022 C) 0.2522 D) 0.2322