(Asset Allocation Set-up for Questions 12 to 14) You have $1 million currently invested entirely in mutual fund A. You are considering switching into a combination of T-bills and mutual fund B for the next year. Mutual fund B is invested 50% in the stock of ABC and 50% in the stock of XYZ. A one year T-bill with face value $10,000 is currently selling for $9.523 (.e. the risk free rate is 5%). After empirical analysis, you have the following assessments of the return to mutual fund A along with the returns to ABC and XYZ for the next year. Elr_A) = 0.10, Elr ABC) - 0.10, Elr_XYZ) -0.18 0-A-0.20, 0 ABC =0.20,0 XYZ -0.30 You have also determined that the correlation coefficient o ABC.XYZ between returns on ABC and XYZ is 04. Using just the T-bill and mutual fund B. you want to construct an investment that is better than your current investment in mutual fund A What is the expected return returns to mutual fund B? El_B) - 0.10 O EL_B) -0.14 O Elr_B) - 0.18 O Elr_B) - 0.20