Suppose we have a portfolio which comprises three risky assets with the following characteristics: Asset 1: 1 = 0.2 and portfolio weight of 30%; Asset 2: 2 = 1.15 and portfolio weight of 75%; Asset 3: Covariance of returns with the market index of 0.003. The volatility of the returns of the market index is 15%. Calculate the of the portfolio and select the correct answer:

(a) The portfolio cannot be calculated, data is missing. (b) According to the portfolio , the portfolio can be classified as aggressive. (c) According to the portfolio , the portfolio can be classified as defensive. (d) None of the above.