You are interested in using short selling to increase the possible returns from your portfolio. You have short sold $200 of ABC and invested $1,200 in DEF. The following data are available on ABC and DEF:

	ABC	DEF
Expected return	3%	15%
Standard deviation	7%	35%

The correlation between ABC and DEF is 0.4. Calculate the expected return and standard deviation of the portfolio.

(Hint: The total invested is $1,000, and while individual weights can be greater than one or less than zero, the sum of the weights must still be one.)