A Portfolio Has 25% of Its Funds Invested in Security

Multiple Choice

A portfolio has 25% of its funds invested in Security C and 75% of its funds invested in Security D. Security C has an expected return of 8% and a standard deviation of 6%.Security D has an
Expected return of 10% and a standard deviation of 10%.The securities have a coefficient of
Correlation of 0.6.Which of the following values are the portfolio return and variance?

A) .090; .0081
B) .095; .001675
C) .095; .0072
D) .100; .00849
E) Cannot calculate without the number of covariance terms.