The following six securities are to be included in an equally weighted portfolio. Determine the expected return and risk of this portfolio. Security Expected Returns and Standard Deviations Security 1 2 Expected returns 12 Standard deviations 22 14 16 3 17 25 4 14 16 5 20 26 24 28 2 3 6 Correlation Matrix 1 1 1.00 2 0.64 3 0.30 4 0.35 5 0.45 6 0.65 2 0.64 1.00 0.42 0.54 0.28 0.32 3 0.30 0.42 1.00 0.38 0.56 0.62 4 0.35 0.54 0.38 1.00 0.52 0.24 5 0.45 0.28 0.56 0.52 1.00 0.37 0.65 0.32 0.62 0.24 0.37 1.00