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An investor is given the two investment alternatives (Assets A and B) with the following...

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Finance

An investor is given the two investment alternatives (Assets A and B) with the following characteristics:

Asset Expected Return Standard Deviation of Returns

A 18.4 percent 16.5 percent

B 10.8 percent 6.8 percent

What is the standard deviation of a portfolio comprised of 60 percent of an investor's wealth invested in Asset A and 40 percent invested in Asset B if the correlation between the returns of A and Asset B are 0.70?

9.9 percent

12.0 percent

13.1 percent

10.9 percent

11.3 percent

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