Consider two risky stocks. Stock A has an expected return of 14 percent and a standard deviation of 15. Stock B has an expected return of 14 percent and a standard deviation of 16 percent. The correlation coefficient between the two stocks is 0.4. What is the expected return of a portfolio where 60 percent of the capital is invested in stock A and 40 percent is invested in stock B?

		17.9
		11.8
		14.0
		12.3
		11.5