A portfolio has 25% of its funds invested in Security C and 75% of its funds invested in Security D. Security C has an expected return of 8% and a standard deviation of 6%. Security D has an expected return of 10% and a standard deviation of 10%. The securities have a coefficient of correlation of .6. Which of the following values is closest to portfolio return and variance?

Select one:

a. .095; .001675

b. .090; .0081

c. .095; .0072

d. Cannot calculate without the number of covariance terms.

e. .100; .00849