Suppose there are two risky assets in the economy. Asset 1 has an expected return of 10% and a standard deviation of 15%. Asset 2 has an expected return of 14% and a standard deviation of 20%. The correlation between these two assets is 1.

(a) Consider a portfolio with 40% of asset 1 and 60% of asset two. Measure the level of risk for this portfolio.

(b) Now assume that in addition to the two risky assets, there is also a riskless asset with an expected return of 5%, and you have a portfolio with 50% invested in the riskless assets. The remaining of your wealth is invested in the portfolio in (a). What are the expected return and standard deviation for this portfolio?