Consider the following three assets:

Asset As expected return is 5% and return standard deviation is 25%.

Asset Bs expected return is 8% and return standard deviation is 32%.

Asset C is a risk-free asset with 2% return.

The correlation between assets A and B is 0.3.

Deciding to diversify, you buy 30% of the ABC bond, 60% of the BCD bond and 10% of the CDF bond. What is the expected value and variance of this portfolio?

(a) E[rp] = 43.5, V ar(rp) = 492.75

(b) E[rp] = 43.5, V ar(rp) = 592.75

(c) E[rp] = 73.5, V ar(rp) = 692.75

(d) E[rp] = 73.5, V ar(rp) = 792.75