24. Stock X has an expected return of 12 percent, a beta of 1.2, and a standard deviation of 20 percent. Stock Y has an expected return of 10 percent, a beta of 1.2, and a standard deviation of 15 percent. Portfolio P has $900,000 invested in Stock X and $300,000 invested in Stock Y. The correlation between Stock X's returns and Stock Y's returns is zero (that is, r=). Which of the following statements is most correct? O a) Portfolio P's expected return is 11.5 percent. b) Portfolio P's standard deviation is 18.75 percent c) Portfolio P's beta is less than 1.2. d) Statements a and b are correct. e) None of the above