1. From the following information, calculate the expected return and standard deviation of a portfolio that consists of 60% of Security A (expected return of 0.10 and standard deviation of 0.03) and 40% of Security B (expected return of 0.20 and standard deviation of 0.05), assuming the covariance between A and B is -0.00121.

a.E(R) = 0.14, Standard deviation = 0.038

b.E(R) = 0.138, Standard deviation = 0.161

c.E(R) = 0.152, Standard deviation = 0.161

d.E(R) = 0.15, Standard deviation = 0.012

e.E(R) = 0.14, Standard deviation = 0.012