11. Sophie is a highly risk- averse investor. She wants to invest in the following two stocks: stock A has expected return of 4% and standard deviation of 40%, stock B has expected return of 12% and standard deviation of 30%. The correlation coefficient between the two stocks is (-1). Sophie's friend advises her to invest 50% in stock A and 50% in stock B. Calculate and explain if you agree or disagree with the advice (7 points).