An investor allocates 75% of their wealth to the risk-free asset and 25% to a risky portfolio (P). The risk-free rate is 2% and the expected return and standard deviation of the risky portfolio (P) are 10% and 20%, respectively. What are the expected return and standard deviation of the investor's portfolio?

• a. Expected return 8.0%; Standard deviation 3.75%
• b. Expected return 4.0%; Standard deviation 5.0%

O c. Expected return 6.5%; Standard deviation 0.25%

• d. Expected return 4.0%; Standard deviation 3.75%
• e. Expected return 8.0%; Standard deviation 0.25%

Of. Expected return 8.0%; Standard deviation 5.0%

O g. Expected return 6.5%; Standard deviation 3.75%

h. Expected return 6.5%; Standard deviation 5.0%

O i. Expected return 4.0%; Standard deviation 0.25%