Question 1 (1.25 points) An investor can design a risky portfolio based on two assets, A and B. Asset A has an expected return of 15% and a standard deviation of return of 40%. Asset B has an expected return of 10% and a standard deviation of return of 20%. The correlation coefficient between the returns of A and Bis .70. The investor allocates 40% in Asset A and 60% in Asset B to form the optimal risky portfolio, what is the optimal risky portfolio's expected return? a) 12% b) 13.5% c) 10% d) 12.5% e) 13%