2. Stock 6G has an expected return of 9% and Stock 7G has an expected return of 11%. Amazingly enough, the standard deviation of Stock 6G is also 9% and the standard deviation of Stock 7G is also 11%. Assume that these are the only two stocks available in a hypothetical world and that the correlation between the returns of the two stocks is +0.6. What is the expected return and standard deviation of a portfolio containing:

• 25% 6G and 75% 7G
• 50% 6G and 50% 7G
• 75% 6G and 25% 7G