Mrs Azaz is going to invest in a two-share portfolio. You are given the following details of the two shares she is considering. She wishes to invest 60% in Share A and 40% in Share B. Returns Standard deviation Share A 16.0 per cent 18.1 per cent Share B 11.0 per cent 10.7 per cent The correlation coefficient between the two shares is 0.271. What is the expected risk and return of the investor's portfolio? O A. 14% Return B. 14% Return 12.7% Standard Deviation 14.4% Standard Deviation O c. 14% Return D. 13.5% Return OE. 13.5% Return 15.1% Standard Deviation 14.1% Standard Deviation 12.7% Standard Deviation