The optimal portfolio of risky assets has an

expected return of $8\%$ with a standard deviation of

$20\%.$ The risk$-$free rate is $4\%.$

What is the expected return and standard deviation

of another portfolio that invests $30\%$ in the risk$-$free

asset and the rest in the optimal portfolio of risky

assets?

Select one:

A$.$ None of these answers

B$.$ The expected return is $6\mathrm{.}80\%$ and the

standard deviation is $14\%$

C$.$ The expected return is $5\mathrm{.}20\%$ and the

standard deviation is $6\%$

D$.$ The expected return is $8\%$ and the

standard deviation is $14\%$

E$.$ The expected return is $5\mathrm{.}6\%$ and the

standard deviation is $14\%$