What happens to the expected return and standard deviation, Financial Management

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What happens to the expected return and standard deviation

An investor wants to invest in two shares, X and Y. The following data are available for the two shares:

Share X has :

Expected Return: 11%

Standard Deviation: 16%

Beta: 1.22

Share Y has:

Expected Return: 8%

Standard Deviation: 12%

Beta : .92

What happens to the expected return and standard deviation of returns of the portfolio if the following conditions exist?

i) The correlation of returns between Share X and Y is +0.7

ii) The correlation of returns between Share X and Y is -0.8

iii) The correlation of returns between Share X and Y is 0.0

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Financial Management: What happens to the expected return and standard deviation

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