USE THE FOLLOWING INFORMATION FOR THE NEXT PROBLEM

Asset (A) Asset (B)

E(RA) = 9% E(RB) = 11%

(SDA) = 4% (SDB) = 6%

WA = 0.4 WB = 0.6

COVA,B = 0.0011

What is the standard deviation of a portfolio of two risky assets if the expected return E(Ri), standard deviation (SDi), covariance (COVi,j), and asset weight (Wi) are as shown above?

Select one:

a. 6.02%

b. 5.16%

c. 3.68%

d. 4.99%

e. 4.56%