An investor’s portfolio currently consists of 100% of stocks that have a mean return of 16.5% and an expected variance of 0. 0324. The investor plans to diversify slightly by replacing 20% of her portfolio with U. S. Treasury bills that earn 4.75%. Assuming the investor diversifies, what are the expected return and expected standard deviation of the portfolio ERP σP ()①A. 14.15% 14.40%②B. 10.63% 2.59%③C. 10.63% 14.40%
A. ①
B. ②
C. ③