Consider an investor who wishes to invest 40% allocation to defensive investments and 60% allocation to growth investments. The investor has worked out the forecasted volatility, expected return and correlation between the two types of investments as below: Investments Return Defensive Volatility 6% per annum 18% per annum 5% per annum 11% per annum Growth The correlation between growth and defensive investments is 0.05 Calculate the return and volatility of the portfolio. 8.6% and 11.06% 8.6% and 11.18% 8% and 11.18% None of the other answers 8% and 11.06%