Question: The table below gives statistics relating to two stocks. Mean Annual Return (%) Standard Deviation of Return (%) Skewness Excess Kurtosis stock A 11.5 5.5

The table below gives statistics relating to two stocks.

Mean Annual Return (%)

Standard Deviation of Return (%)

Skewness

Excess

Kurtosis

stock A

11.5

5.5

-0.45

-0.5

stock B

12.0

8.5

0.25

2.5

If we create a portfolio with 70% of investment on stock A and 30% of investment on stock B and the covariance between two stocks is 16 basis points, what is the portfolio return and standard deviation separately?

		11.7% and 0.28%
		11.75% and 5.45%
		11.75% and 7%
		11.7% and 5.29%

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