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Question
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 CORRECT?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.
Answer
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