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【单选题】
Suppose there are two risky assets: Security 1 has expected return of 15% and standard deviation of 20%, security 2 has expected return of 10% and standard deviation of 25%, and the correlation of security 1 with security 2 is 0.90. What are the expected return and standard deviation of portfolio with security 1 and security 2 when the weight of security 1 is -0.2?A.
The expected return is 0.09 and standard deviation is 0.265
B.
The expected return is 0.075 and standard deviation is 0.288
C.
The expected return is 0.12 and standard deviation is 0.225
D.
The expected return is 0.09 and standard deviation is 0.275
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