Question 20 (1.25 points) Saved 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 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 60% in Asset A and 40% in Asset B to form the optimal risky portfolio, what is the optimal risky portfolio's expected return? a) 13% b) 12,5% Od 10% d) 12% e) 13.5%