Question 4 A portfolio consists of 60% of Security A (expected return of 0.10 and standard deviation of 0.03) and 40% of Security B (expected return of 0.20 and standard deviation of 0.05) and the correlation coefficient between A and B is -0.0012. a) Calculate the expected return and standard deviation of the portfolio. b) Calculate the standard deviation of the portfolio if there was no diversification benefit