5.7 a. (5 points) An investor wishes to construct a portfolio consisting of an 80% allocation to a stock index and a 20% allocation to a risk-free asset. The return on the risk-free asset is 5% and the expected return on the stock index is 12%. The standard deviation of returns on the stock index is 22%. Calculate the expected standard deviation of the portfolio. b. (5 points) Consider a risky asset that has a standard deviation of returns of 20. Calculate the covariance between the risky asset and a risk-free asset