2.You have following information: Stock A has an expected return of 15%, standard deviation of 8% and beta of 1.2. Stock B has an expected return of 12%, standard deviation of 14% and beta of 0.9. T-bills have an expected return of 5% and a standard deviation of 3.5%. What is the portfolio expected return and the portfolio systematic risk if you invest 30% in A, 30% in B and 40% in the T-bills?

a. 10.1% ; 1.03

b. 10.1% ; 0.63

c. 10.8% ; 0.72

d. 10.8% ; 1.02

e. 10.67% ; 0.70