Problem 11-27 Portfolio Standard Deviation

Security F has an expected return of 11.8 percent and a standard deviation of 44.8 percent per year. Security G has an expected return of 16.8 percent and a standard deviation of 63.8 percent per year. a. What is the expected return on a portfolio composed of 22 percent of Security F and 78 percent of Security G? (Do not round intermediate calculations. Enter your answer as a percent rounded to 2 decimal places, e.g., 32.16.) Expected return % b. If the correlation between the returns of Security F and Security G is .17, what is the standard deviation of the portfolio described in part (a)? (Do not round intermediate calculations. Enter your answer as a percent rounded to 2 decimal places, e.g., 32.16.) Standard deviation %