A portfolio is composed of two stocks, A and B. Stock A has a standard deviation of

return of 5% while stock B has a standard deviation of return of 15%. The correlation

coecient between the returns on A and B is .5. Stock A comprises 40% of the portfolio

while stock B comprises 60% of the portfolio. The variance of return on the portfolio

is .

(a) .0035

(b) .0085

(c) .0094

(d) .0103