Question: True or False? -- Stock A has an expected return of 12.00% and a standard deviation of 9.00%. Stock B has an expected return of

True or False? -- Stock A has an expected return of 12.00% and a standard deviation of 9.00%. Stock B has an expected return of 4.00% and a standard deviation of 18.00%. If the portfolio that consists of 60% stock A and 40% stock B has a standard deviation of 11.26%, the correlation coefficient of stocks A and B must be 0.59.

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