You are given the following data for expected annual return, E$($R$),$ and standard deviation of return, SD$,$

for Starbucks $($SBUX$),$ Walmart $($WMT$),$ and Nike $($NKE$).$

Stock$$

$$Expected return, E$($r$)$

$$Standard deviation, $$sigma$$

$$SBUX

$20\%$

$60\%$

$$WMT

$10\%$

$30\%$

$$NKE

$25\%$

$70\%$

The correlation coefficient of returns between each pair of stocks is:

SBUX and WMT $=0\mathrm{.}6$

SBUX and NKE $=0\mathrm{.}3$

WMT and NKE $=0\mathrm{.}0$

Which one of the following portfolios would have the lowest variance?

A portfolio with $50\%$ invested in SBUX and $50\%$ invested in WMT$.$

A portfolio with $100\%$ invested in WMT$.$

A portfolio with $75\%$ invested in WMT and $25\%$ invested in NKE.

A portfolio with $50\%$ invested in WMT and $50\%$ invested in NKE.