An investor invests 60% of his wealth in a risky asset with an expected rate of return of 15% and a variance of 0.04 and 40% in a T-bill that pays 5%. His portfolio's expected return and standard deviation are and respectively. a. 11.0%, 2.4% O b. 11%, 12% c. 20%, 4% O d. 9.0%, 12.0%