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Asset 1 has an expected return of 10% and a standard deviation of 20%. Asset 2 has an expected return of 15% and a standard deviation of 30%. The correlation between the two assets is less than 1.0. You form a portfolio by investing half of your money in asset 1 and half in asset 2. Which of the following best describes the expected return and standard deviation of your portfolio?

a.

The expected return is 12.5% and the standard deviation is greater than 25%.

b.

The expected return is between 10% and 15% and the standard deviation is greater than 30%.

c.

The expected return is 12.5% and the standard deviation is 25%.

d.

The expected return is 12.5% and the standard deviation is less than 25%.