An investor invests 70% of his wealth in a risky asset with an expected rate of return of 0.15 and a variance of 0.04 and 30% in a T-bill that pays 5%. His portfolio's expected return and standard deviation are _____ and _____, respectively.
a) 0.120; 0.14
b) 0.087; 0.06
c) 0.295; 0.12
d) 0.087; 0.12
e) cannot be determined