Question: Stocks A, B, and C have the same expected return and standard deviation. The following table shows the correlations between the returns on these stocks.

Stocks A, B, and C have the same expected return and standard deviation. The following table shows the correlations between the returns on these stocks.

align="center">Stocks A, B, and C have the same expected return

Given these correlations, the portfolio constructed from these stocks having the lowest risk is a portfolio:
a. Equally invested in stocks A and B.
b. Equally invested in stocks A and C.
c. Equally invested in stocks B and C.
d. Totally invested in stockC.

Stock A Stock B Stock B Stock A +1.0 Stock B +0.9 +1.0 Stock +0. 0.4 1.0

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