Expected returns are 14 % and 10 % for A and B, respectively Covariance matrix is Stock A Stock B Stock A 0.3 0.12 Stock B 0.12 0.15 The share pricce of A is 75, share price of B is 20. Nigel has 700 of cash. He borrows 20 shares of A and then uses the cash and the proceeds from shortselling the 20 borrowed shares of A to purchase B. Compute the expected return and the volatility of the portfolio