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Can someone explain why the answer is C?! Thank you! Summer I - 2018 Stocks A and B are quite similar: Each has an expected

Can someone explain why the answer is C?! Thank you!

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Summer I - 2018 Stocks A and B are quite similar: Each has an expected return of 12%, a beta of 1.2, and a standard deviation of 25%. The returns on the two stocks have a correlation of 0.6. Portfolio P has 50% in Stock A and 50% in Stock B. Which of the following statements is CORRECT? a. Portfolio P has a standard deviation that is greater than 25%. b. Portfolio P has an expected return that is less than 12%. c. Portfolio P has a standard deviation that is less than 25%. d. Portfolio P has a beta that is less than 1.2. e. Portfolio P has a beta that is greater than 1.2. COMM 308 - Tutorial Session 7 - CAPM 33

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