Exhibit 6-12
USE THE FOLLOWING INFORMATION FOR THE NEXT PROBLEM(S)

Multiple Choice

Exhibit 6-12
USE THE FOLLOWING INFORMATION FOR THE NEXT PROBLEM(S) $\begin{array}{cc}\text { Asset 1 } & \text { Asset 2 } \\\hline E\left(R_{1}\right) =.12 & E\left(R_{2}\right) =.16 \\E\left(\sigma_{1}\right) =.04 & E\left(\sigma_{2}\right) =.06\end{array}$
-Calculate the expected return for a three-asset portfolio with the following $\begin{array}{cccc}\text { Asset } & \text { Exp. Ret. } & \text { Std. Dev } & \text { Weight } \\\hline \text { A } & 0.0675 & 0.12 & 0.25 \\\text { B } & 0.1235 & 0.1675 & 0.35 \\\text { C } & 0.1425 & 0.1835 & 0.40\end{array}$

A) 11.71%
B) 11.12%
C) 15.70%
D) 14.25%
E) 6.75%.