Use the following data to answer Questions 26 through 28.

A portfolio manager creates the following portfolio:

Security Expected Annual Return Expected Standard Deviation

1 16% 20%

2 12% 20%

26. If the portfolio of the two securities has an expected return of 15%, the proportion invested in security 1 is:

A. 25%. B. 50%. C. 75%.

27. If the correlation of returns between the two securities is 20.15, the expected standard deviation of an equal-weighted portfolio is closest to:

A. 13.04%. B. 13.60%. C. 13.87%.

28. If the two securities are uncorrelated, the expected standard deviation of an equalweighted portfolio is closest to:

A. 14.00%. B. 14.14%. C. 20.00%.