Consider the Following Portfolio of Assets What Is the Expected Return on the Portfolio (Round to |

Consider the following portfolio of assets: $$\begin{array} { | c | c | c | c | c | c | } \hline \text { Loan } i & \text { Weight } i & \text { Expected return } i & \sigma i & \sigma i ^ { 2 } & \\\hline 1 & 0.30 & 13 \% & 9.06 \% & 82.0 \% & \mathrm { P } _ { 12 } = - 0.87 \\\hline 2 & 0.70 & 11 \% & 8.72 \% & 76.0 \% & \sigma _ { 12 } = - 75.0 \% \\\hline\end{array}$$ What is the expected return on the portfolio (round to two decimals) ?

A) 0.3(13%) + 0.7(11%) = 11.60%
B) (13% + 11%) / 2 = 12.00%
C) (0.3) ²(13%) + (0.7) ²(11%) = 6.56%
D) [(0.3) ²(13%) + (0.7) ²(11%) ] * 2 = 13.12%