After constructing the portfolio and reporting the results to your client, they are quite upset saying 'I thought the whole purpose of diversification was to reduce risk. Yet you have just told me that the variability of my portfolio has actually been increased from what it was when I invested only in BHZ! c) Provide a response to your client and demonstrate that the new portfolio does (or does not) reflect the benefits of diversification. Next, you propose a new portfolio such that 31.0% is invested in BHZ shares, 42.0% in ANB shares and the rest in the risk-free security, which has a return of 4.0%. d) What is the expected return of this new portfolio? % (Enter to 2 decimal places)