Let $G$ be the global minimum variance portfolio formed from asset A and asset $B.$ Asset A has expected return of $13\mathrm{.}2\%$ and standard deviation of $1\mathrm{.}5\%.$ Asset $B$ has expected return of $7\mathrm{.}7\%$ and standard deviation of $1\mathrm{.}1\%.$ Correlation coefficient between A and $B$ return is $0\mathrm{.}46.$ The expected rate of return and standard deviation of the global minimum variance portfolio, $G,$ are $$ and $$ respectively.

$10\mathrm{.}07\%$; $3\mathrm{.}01\%$

$10\mathrm{.}07\%$; $1\mathrm{.}05\%$

none of the above

$8\mathrm{.}97\%$; $2\mathrm{.}03\%$

$8\mathrm{.}97\%$; $1\mathrm{.}05\%$