James, a portfolio manager, would like to form the following portfolio between Microsoft and Coca-Cola:

Expected return (%) Standard Deviation (%) Weight

Microsoft 28 42 0.4

Coca-Cola 12.5 21 0.6

The correlation between the two stocks is 0.5.

Now, suppose James would form a portfolio between the T-bills and his own two-stock portfolio (as in question 1). The expected return on such a portfolio is 15.8%. What is the proportion of his investments in each asset?

He would invest ____% into the T-bills, ____% into Microsoft, and ____% into Coca-Cola.

Group of answer choices

A. 40, 43.74, 16.26

B. 19.47, 32.21, 48.32

C. 35, 26, 39

What is the standard deviation of such a portfolio? ______%