Stock A has an expected return of 11% and a standard deviation of 7%. Stock B has an expected return of 4% and a standard deviation of 6%. The correlation between the returns of stock A and B is 0.30. If we combined stock A and B into a portfolio where the weight of stock A is 70% and the weight of stock B is 30%, what would be the expected return and standard deviation of this portfolio?

Multiple Choice

Expected return = 0.089; Standard deviation = 0.047

Expected return = 0.139; Standard deviation = 0.057

Expected return = 0.139; Standard deviation = 0.047

Expected return = 0.089; Standard deviation = 0.057