An Investor Invests 70% of Her Wealth in a Risky

Multiple Choice

An investor invests 70% of her wealth in a risky asset with an expected rate of return of 15% and a variance of 5% and she puts 30% in a Treasury bill that pays 5%.Her portfolio's expected rate of return and standard deviation are __________ and __________ respectively.

A) 10.0%, 6.7%
B) 12.0%, 22.4%
C) 12.0%, 15.7%
D) 10.0%, 35.0%