Assume that you are considering a portfolio of two assets, A and B, with 60% invested in asset A and 40% invested in asset B. Assume that the two assets have the following statistics: Return Variance Covariance Asset A 20% 0.20 -0.01 Asset B 15% 0.10 The portfolio expected return is Return = 20% Return = 18% Return = 17% Return = 16%