Consider a market with two risky assets A and B. M is the market portfolio. F is the risk- free asset. This is a perfect market with no taxes or other frictions, and the prices given are equilibrium prices. All returns are annual returns.

	Expected Return	Standard Deviation	Correlation Matrix				Beta ()
			A	B	M	F
A	5.97%	17.00%	1.00	0.20	0.40	0.00	??
B	9.35%	21.00%	0.20	1.00	0.60	0.00	??
M	9.00%	12.00%	0.40	0.60	1.00	0.00	1.00
F	2.00%	0.00%	0.00	0.00	0.00	1.00	0.00

Question: Suppose that you are forming a portfolio (called portfolio 1) with 35% weighting on security A and 65% weighting on security B. Calculate the expected return and the standard deviation of return for portfolio 1. Show your calculations.