Based on the following information, please calculate the expected return and expected standard deviation of a two-stock portfolio when correlation coefficient rho_1,2= -0.60 and w₁= .75.

Asset 1	Asset 2
E(R1) = .12	E(R2) = .16
E(s1) = .04	E(s2) = .06

The expected return and standard deviation of this two-asset portfolio will be ______, respectively .

A) .13 and .0240

B) .13 and .0455

C) .12 and .0585

D) .12 and .5585

E) .13 and .6758

The Capital Market Line (CML) ______________ . I) is a special case of the Capital Allocation Line. II) represents the opportunity set of a passive investment strategy that holds market portfolio. III) has a slope equal to the Sharpe Ratio of market portfolio.

Which argument(s) above are correct?

A) I and II.

B) II and III.

C) I and III.

D) I, II and III.

E) III only.