Calculate portfolio return and variance

Reference no: EM1361159

A portfolio has 25% of its funds invested in Security C and 75% of its funds invested in Security D. Security C has an expected return of 8% and a standard deviation of 6. Security D 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?

.090; .0081
.095; .001675
.095; .0072
.100; .00849

Reference no: EM1361159

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