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Multiple Choice Question Consider a portfolio comprised of two stocks A and B: The estimates shown below are given in percentage format for the expected

Multiple Choice Question

Consider a portfolio comprised of two stocks A and B:

The estimates shown below are given in percentage format for the expected return, E(R), and standard deviation of returns (SD).

Stock Weight E(R) SD

A 0.40 16% 45%

B 0.60 12% 30%

The correlation between stocks A and B is .75.

Calculate the portfolio expected return and standard deviation

B. 13.6%, 12.73%
D. none of the above
A. 13.6%, 33.67%
C. 12.1%, 18.62%

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