Exhibit 711
Use the Information Below for the Following Problem(S)

Multiple Choice

Exhibit 7.11
Use the Information Below for the Following Problem(S)
$\begin{array}{ccc}\text { Asset } 1 & & \text { Asset 2 } \\\hline E\left(R_{1}\right) =0.28& & E\left(R_{2}\right) =0.12 \\E\left(\sigma_{1}\right) =0.15 & &E\left(\sigma_{2}\right) =0.11 \\W_{1}=0.42 & & W_{2}=0.58 \\& r_{12}=0.7 &\end{array}$
-Refer to Exhibit 7.11.Calculate the expected standard deviation of the two stock portfolio.

A) 0.1367
B) 0.1872
C) 0.1169
D) 0.20
E) 0.3950