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%; 6.7%
B) 12%; 22.4%
C) 12%; 15.7%
D) 10%; 35%