Question 11 Not yet answered An investor is building a portfolio of assets W and Z. W has a mean return of 8% and a return standard deviation of 25%. Z has a mean return of 14% and a return standard deviation of 9%. The correlation between their returns is 0.4. The mean return and return standard deviation of an equally weighted portfolio of these two assets are, to the nearest percentage point; Marked out of 1.00 P Flag question O a. 11% and 17% O b. 22% and 42% O c. 22% and 14.88% O d. 11% and 15%