Ballarat Investment company has two loans that have the following characteristics: Loan A is for $12 million with expected return of 8 per cent and a standard deviation of returns of 9.5 per cent. Loan B is for $9 million. The expected return and standard deviation of returns of loan B are 11 per cent and 16 per cent, respectively.

(a) If the covariance between loans A and B is 0.02 (2 per cent), what are the expected return and standard deviation of this loan portfolio?

(b) What is the standard deviation of the loan portfolio if the covariance is - 0.015 (-1.5 per cent)?