Joe wants to use a single index model to estimate the expected return and standard deviation of a portfolio. Assume that Joe's portfolio is comprised of three well-diversified protfolios (so that we can ignore the variance of the error terms). Further assume that and are the y-intercept and slope parameters of the single index model. Joe invests 20% in Portfolio A, with an = .01 and = 1.0, he invests 40% in Portfolio B with an = .04 and = 1.5 and he invests 40% in Portoflio C with an = .03 and = 2.0. If the expected return on the Single Index is 10% and the standard deviation of the single index's returns is 25 (use the return and standard deviation of the index return as percentages not decimals )... what is the estimated expected return and the estimated standard deviation of returns on Joe's portfolio? a) None of the answers listed here. b) Expected return = 15.06% and Standard Deviation of returns = 30% c) Expected return = 16.03% and Standard Deviation of returns = 32% D) Expected return = 15.06% and Standard Deviation of returns = 6.71%