Stocks a and B Each Have an Expected Return of 15

Multiple Choice

Stocks A and B each have an expected return of 15%, a standard deviation of 20%, and a beta of 1.2. The returns on the two stocks have a correlation coefficient of +0.6. Your portfolio consists of 50% A and 50% B. Which of the following statements is CORRECTσ

A) the portfolio's expected return is 15%.
B) the portfolio's standard deviation is greater than 20%.
C) the portfolio's beta is greater than 1.2.
D) the portfolio's standard deviation is 20%.
E) the portfolio's beta is less than 1.2.