You have divided your money equally between two stocks. Both have expected returns of 12%, standard deviations of 18%, and betas of 1.1. Assume the returns of the two stocks are
Not perfectly positively correlated. Which of the following statements is (are) necessarily true?
A) The beta of your portfolio is less than 1.1.
B) The expected return on your portfolio is 12%.
C) The standard deviation of the portfolio returns is 18%.
D) Both A and B are true statements.
Correct Answer:
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