The Stock Market of Country a Has an Expected Return

Essay

The stock market of country A has an expected return of 5%, and a standard deviation of expected return of 8%. The stock market of country B has an expected return of 15% and a standard deviation of expected return of 10%.
Assume that the correlation of expected return between security A and B is 0.2. Calculate the standard deviation of expected return of a portfolio that has half of its money invested in A and half in B.