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6. Consider two stocks ABC and XYZ. The variance of returns for stock ABC is 0.02448 and for stock XYZ is 0.018772. The correlation between

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6. Consider two stocks ABC and XYZ. The variance of returns for stock ABC is 0.02448 and for stock XYZ is 0.018772. The correlation between the returns of stock ABC and stock XYZ is 0.11. What is the standard deviation of an investment portfolio that is equally invested in both the securities? a. 10.951% b. 12.068% c. 12.926% d. 11.651% e. None of the above

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