Question: True or False? -- Stock A has an expected return of 8.00% and a standard deviation of 11.00%. Stock B has an expected return of

True or False? -- Stock A has an expected return of 8.00% and a standard deviation of 11.00%. Stock B has an expected return of 7.00% and a standard deviation of 7.00%. The correlation coefficient of stocks A and B is -0.20. If the risk free rate is 2.75%, the portfolio that consists of 75% stock A and 25% stock B has a higher Sharpe ratio than both individual stocks.

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