Exhibit 6-3
USE THE FOLLOWING INFORMATION FOR THE NEXT PROBLEM(S)

Multiple Choice

Exhibit 6-3
USE THE FOLLOWING INFORMATION FOR THE NEXT PROBLEM(S) $\begin{array}{c}\begin{array}{cc}\text { Asset (A) } & \text { Asset (B) } \\\hline E\left(R_{A}\right) =9 \% & E\left(R_{B}\right) =11 \% \\\left(\sigma_{A}\right) =4 \% & \left(\sigma_{B}\right) =6 \% \\W_{A}=0.4 & W_{B}=0.6\end{array}\\\mathrm{COV}_{\mathrm{A,B}}=0.0011\end{array}$
-Refer to Exhibit 6-3. What is the expected return of a portfolio of two risky assets if the expected return E(R_i) , standard deviation (?_i) , covariance (COV_i,j) , and asset weight (W_i) are as shown above?

A) 8.95%
B) 9.30%
C) 9.95%
D) 10.20%
E) 10.70%