Greg Has $10,000 to Invest in a Risk-Free Asset and in the Market

Multiple Choice

Greg has $10,000 to invest in a risk-free asset and in the market portfolio.The risk-free rate is 4.8%.The market portfolio has an expected return of 13.6% with a standard deviation of 15%.What are the expected return and standard deviation for a portfolio with 30% of the funds invested in the risk-free asset?

A) Expected return = 10.50%; standard deviation = 10.96%
B) Expected return = 10.96%; standard deviation = 10.50%
C) Expected return = 4.50%; standard deviation = 7.44%
D) Expected return = 7.44%; standard deviation = 4.50%