An investor invests 40 per cent of her funds in Company A's shares and the remainder in Company B's shares. The standard deviation of the returns on A is 20 per cent and on B is 10 per cent. Required: Calculate the variance of return on the portfolio assuming the correlation between the returns on the two securities is:

A) +1.0

B) +0.5

C) 0

D) -0.5 What do your answers show?