An investor holds a portfolio of two shares. The correlation between the two shares is 0.80.

Share A has an investment of $15,000, expected return of 14%, volatility of 30% and beta of 0.80.

Share B has an investment of $35,000, expected return of 10%, volatility of 30% and beta of 1.20.

(4) Calculate the portfolio variance.

Select one:

a. 7.00%

b. 6.73%

c. 25.95%

d. 11.20%

Calculate the portfolio volatility.

Select one:

a. 7.00%

b. 11.20%

c. 25.95%

d. 5.04%