Given the following information on securities e and f, calculate the expected return and standard deviation of returns on a portfolio consisting of 40% invested in e and 60% invested in f.

security e security f
expected return 12% 5%
standard deviation of returns 10% 20%
correlation coefficient of returns –0.50

a. 13.5%; 15%
b. 13.8%; 14.4%
c. 13.8%; 10.6%
d. 13.5%; 8.7%