Given the Following Information on Securities E and F, Calculate

Multiple Choice

Given the following information on securities E and F, calculate the expected return and standard deviation of returns on a portfolio consisting of 40% invested in E and 60% invested in F. $$\begin{array} { l l l } & \text { Security E } & \text { Security F } \\\text { Expected Return } & 12 \% & 15 \% \\\text { Standard Deviation of Returns } & 10 \% & 20 \% \\\text { Correlation coefficient of returns } &&{ - 0.50 }\end{array}$$

A) 13.5%; 15%
B) 13.8%; 14.4%
C) 13.8%; 10.6%
D) 13.5%; 8.7%