- You invest 40% in A that has expected return 10% and variance 0.01 - You invest 60% in B that has expected return 20% and variance 0.02 What is the standard deviation of the portfolio? a. 0.1246 b. 0.02 c. 0.0156 d. 0.0088 e. 0.0109 f. 0.0 g. 0.01287 h. 0.1416 i. 0.1135 j. 0.1043