Problem 11-12 Portfolio Variance (LO2, CFA5) Use the following information to calculate the expected return and standard deviation of a portfolio that is 60 percent invested in 3 Doors, Inc. and 40 percent invested in Down Co. (Do not round intermediate calculations. Enter your answers as a percent rounded to 2 decimal places.) 3 Doors, Inc 16% 36 Down Co. 11% Expected return, (R) Standard deviation, Correlation .21 Expected return Standard deviation