Suppose the optimal risky portfolio P has an expected return of 0.10 and a variance of 0.09. There is also a risk-free a

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Suppose the optimal risky portfolio P has an expected return of0.10 and a variance of 0.09. There is also a risk-free asset with areturn of 0.02. If an investor allocates a proportion y=0.59 to therisky portfolio, and invests the remaining proportion in therisk-free asset, what is the variance of that investor's completeportfolio?
a.
0.0531
b.
0.1770
c.
0.0672
d.
0.0313
e.
0.0590