If the risk-free rate stands at 3% and we invest in the tangency portfolio consisting of around 1/4 in the US index and 3/4 in Asian index, what are the expected return and standard deviation of this portfolio? The correlation of returns between Asset A and Asset B can be characterized as shown in the table. Average returns Standard deviation Correlation with US index US Index 12% 13.00% 1 Asian Index 15.60% 12.00% 0.55