Assume an active fund has decided to exploit the great potential in the solar panel industries. The fund invested in the following three securities with given weightings

The standard deviation of the stock market index is 20%. Please compute the expected return and standard deviation of this active fund's portfolio.

Security Stock of solar farm (Solar) Stock of sheep farm (Sheep) Treasury bond (risk free) Weighting Expected return 40% 30% 30% 20% 30% 5% Beta Firm-specific 0.8 1.5 standard deviation 30% 40%