Suppose Johnson & Johnson and Walgreen Boots Alliance have expected returns and volatilities as shown in the Data Table below, with correlation of 21%. Assume the portfolio is equally invested in these two stocks. If the correlation between Johnson & Johnson and Walgreens' stock were to increase,

1) Would the expected return of the portfolio rise or fall? (Select the best choice below)

a) Remain the same

b) Fall

c) Cannot tell from the information provided

d) Rise

B) Would the volatility of the portfolio rise or fall? (Select the best choice below)

a) Remain the same

b) Cannot tell from the information provided

c) Rise

d) Fall

Data Table:

Expected Return Standard Deviation

Johnson & Johnson 7.4% 17.1%

Walgreens Boots Alliance 10.6% 21.2%