You have $10 million for investing. You consider the following asset allocation; $7 million in portfolio A, $3 million in portfolio B. Portfolio A and B correlation is 0.85 Expected Return Standard Deviation Portfolio A 20% 25% Portfolio B 16% 20% a. Compute the portfolio expected return and standard deviation. b. Portfolio C is also available: Expected Standard Return Deviation Portfolio C 21% 26% Portfolio C has a Zero correlation with portfolio A; You consider selling portfolio B and investing all the proceeds in the new portfolio C. Your colleague states that since portfolio C has higher standard deviation than B, it is not a prudent investment. Do you agree? Show your arguments quantitatively