Expected return of new portfolio

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The expected returns of mutual funds F and G are 11% and 14% respectively. The expected standard deviations of the returns of mutual funds F and G are 7% and 8% respectively. If the correlation coefficient of F's and G's returns is +0.6, is it possible to create a portfolio that is comprised of some portion of each of F and G such that the expected return of this new portfolio exceeds 11% and the standard deviation of the returns of this portfolio is less than 7%?

A) yes

B) No

C) we cannot determine with the information provide, we need more information.

Reference no: EM133109496

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