The Bank of the Blue Ridge Mountains currently has an expected return of 10 percent with a standard deviation of percent. They are considering adding an insurance business to the firm. They feel that this new business will comprise 10 percent of the combined business and it has an expected return of 22 percent with a standard deviation of 1 percent They expect that the correlation between their current business and the new insurance Business will be 15. What is the expected return of the combined business? OA) 10 percent OB) 11.2 percent OC) 1.8 percent OD) 16 percent OE) None of the above