Use the following information to answer items 12 to 16: Risky Asset Standard Deviation Expected Return 7% 13% #1 #2 9% 20% Correlation coefficient = risk free rate = 0.5 3% 12. What is the expected return of the portfolio invested 50% in risky asset #1 and 50% in risky asset #2? A. 9.40% B. 9.96% C. 10.00% D. 14.37% E. 14.50% 13. What is the standard deviation of the portfolio invested 50% in risky asset #1 and 50% in risky asset #2? A. 1.65% B. 12.85% C. 14.50% D. 26.20% E. 38.08% F. 51.19% 14. What is the covariance of risky assets 1 and 2? A. 0.009 B. 0.225 C. 0.278 D. 1.111 E. 27.778