#6

A hedge fund has created a portfolio using just two stocks. It has shorted $28,000,000 worth of Oracle stock and has purchased $90,000,000 of Intel stock. The correlation between Oracle's and Intel's returns is 0.62. The expected returns and standard deviations of the two stocks are given in the table below: Suppose the correlation between Intel and Oracle's stock increases, but nothing else changes. Would the portfolio be more or less risky with this change? (Select the best choice below.) A. Riskiness of the portfolio stays the same. B. Cannot say without knowing how investors trade off expected return and volatility. C. More risky. D. Less risky. Data table (Click on the icon located on the top-right corner of the data table below in order to copy its contents into a spreadsheet.)