Assume that stock A has an expected return of 10% and a standard deviation of return of 10%. Stock B has an expected return of 11% and a standard deviation of return of 11%. What can you say about the standard deviation of a portfolio in which 50% of the assets are stock A, and the remaining 50% are stock B, if:

1. They are perfectly correlated: A,B = 1?

2. They are positively correlated: 0 < A.B < 1?

3. They are negatively correlated: 1 < A.B < 0