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 C has an expected return of 8% and a standard deviation of 6%. Security B has an expected return of 10% and a standard deviation of 10%. The securities have a coefficient of correlation of .6. Which of the following values is closest to portfolio return and variance?

A) .095; .001675.
B) .095; .0072.
C) .100; .00849.
D) .090; .0081.