Question: 14. 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

14. 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 are negatively correlated. 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 a coefficient of variation that is less than 2.1. d. Portfolio P has an expected return that is less than 12%. e. Portfolio P has an expected return that is greater than 12%.

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