We are faced with two investors: Frida and Paulo. They want to invest in two of the following three portfolios A, B and C. Expected retum of Ais 7%, variance of Als 0.04 expected retum of B is 22%, variance of B is 0.81; and expected return of C is 8% variance of C is 0.64. The three portfolios have the following covariances: Cov(A,B)=0.16, Cov(B,C)=0.12, and Cov(A.C)*0.45. The risk free rate RF - 1.5% Paulo has $1,000 and wants to form an equal weight portfolio from A and C. What is the expected return (Er) and standard deviation(SD) of this portfolio? O a. Er equals 14.25%, SD equals 49.4% O b. Er equals 7.5%, SD equals 62.85% Oc. Er equals 7.5%, SD equals 45.39% O d. Er equals 14.25, SD equals 50.3% O e. None of the choices is correct