You have two companies to choose from in forming a portfolio: Adelphi Corp. and Zeus Ltd. What is the portfolio expected return and standard deviation for a portfolio that is 60% in Adelphi and 40% in Zeus?

The relevant data are:

Adelphi standard deviation = 8%

Adelphi average return = 10%

Zeus standard deviation = 11%

Zeus average return = 14%

Covariance = - 0.0067

Select one:

a. Standard deviation is 5.64% and the average return is 10.9%%

b. Standard deviation is 3.2% and the average return is 11.6%

c. Standard deviation is 8.2% and the average return is 11.6%

d. Standard deviation is 4.50% and the average return is 19.01%

e. Standard deviation is 10.7% and the average return is 9.08%