Question: The correct answer is bolded. I need to know how to solve the problem step-by-step. 3. Some of a portfolio consists of stock A, which

The correct answer is bolded. I need to know how to solve the problem step-by-step.

3. Some of a portfolio consists of stock A, which has an expected return of 17.44% and a standard deviation of returns of 24.21%, and the rest of the portfolio consists of stock B, which has an expected return of 17.44% and a standard deviation of returns of 24.21%. If the returns of stock A and stock B do not move perfectly together in the same direction by the same relative amount, then which one of the following assertions is true? Assume that the portfolio has at least some stock A and some stock B. The expected return of the portfolio is 17.44% and the standard deviation of the portfolio is not 24.21

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