Question: Security F has an expected return of 12% and a standard deviation of 9% per year. Security G has an expected return of 18% and a standard deviation of 25% per year.

a. What is the expected return on a portfolio composed of 30% of security F and 70% of security G?

b. If the correlation between the returns of security F and security G is 0.2, what is the standard deviation of the portfolio described in part (b)?