Expected Return of a Two-Asset Portfolio

Modern Portfolio Theory (MPT) asserts that investors can construct a portfolio to maximize expected return based on a given level of risk. The key element of MPT is that risk can be reduced through diversification. Consider a scenario where an investor holds a portfolio of two assets, A and B, with the following expected returns and standard deviations:

Asset A: Expected return = 8%, Standard deviation = 12%

Asset B: Expected return = 10%, Standard deviation = 20%

The correlation coefficient between the returns of assets A and B is 0.3. If the investor wants to create a portfolio with a 60% allocation to asset A and a 40% allocation to asset B, what is the expected return of the portfolio?