Stocks A and B each have an expected return of 12%, a beta of 1.2, and a standard deviation of 25%. The returns on the two stocks have a correlation of 0.6. Portfolio P has 50% in Stock A and 50% in Stock B. Which of the following statements is CORRECT?
a) Portfolio P has a beta that is greater than 1.2. b) Portfolio P has a standard deviation that is greater than 25%. c) Portfolio P has an expected return that is less than 12%. d) Portfolio P has a standard deviation that is less than 25%. e) Portfolio P has a beta that is less than 1.2.