Consider two risky stocks. Stock A has an expected return of 9 percent and a standard deviation of 16. Stock B has an expected return of 11 percent and a standard deviation of 15 percent. The correlation coefficient between the two stocks is -0.1. What is the expected return of a portfolio where 80 percent of the capital is invested in stock A and 20 percent is invested in stock B?

10.7

10.9

9.4

10.8

10.9