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 14 percent and a standard deviation of 14 percent. The correlation coefficient between the two stocks is 0.8. What is the expected return of a portfolio where 70 percent of the capital is invested in stock A and 30 percent is invested in stock B?

		8.9
		12.4
		12.0
		9.1
		10.5