Consider a portfolio comprised of two stocks A and B:

The estimates shown below are given in percentage format for the expected return, E(R), and standard deviation of returns (SD).

Stock Weight E(R) SD

A 0.40 16% 45%

B 0.60 12% 30%

The correlation between stocks A and B is .75.

Calculate the portfolio expected return and standard deviation

B. 13.6%, 12.73%

D. none of the above

A. 13.6%, 33.67%

C. 12.1%, 18.62%