4. A firm has decided to construct a portfolio of three stocks, namely stock I, stock J and stock K. The weights of stock I and stock J in the portfolio are 25% and 40%, respectively. The rate of returns and standard deviations (6) of three stocks are given below. Stock E(R) 1 0.10 0.17 J 0.15 0.23 K 0.20 0.29 o The correlation matrix of three stocks is as follows: 1 J K I J K 1.00 0.80 0.72 1.00 0.65 1.00 a. Calculate the portfolio return. b. Calculate the portfolio variance