The annual expected return and standard deviation of returns for 2 assets are as follow:
Asset A: E[r]=10%, SD[r]=30%
Asset B: E[r]=20%, SD[r]=50%
the correlation between the returns is 0.15.
what is the correlation between the returns on the portfolios below?
portfolio 1: 80% in A, 20% in B
portfolio 2: 20% in A, 20% in B