Mr Ben is going to invest in a two-share portfolio. You are given the following details of the two shares he is considering. He wishes to invest equal amounts in both shares. Share F Share G Returns 15.0 per cent 12.0 per cent Standard deviation 14.3 per cent 10.7 per cent The correlation coefficient between the two shares is 0.164. What is the expected risk and return of the investors portfolio?

A. 13.5% Return 12.5% Standard Deviation B. 13.5% return 9.6% Standard Deviation C. 13.5% Return 8.8% Standard Deviation D. 12.0% Return 12.5% Standard Deviation E. 15.0% Return 9.6% Standard Deviation