Henry Holms has $40,000 and is forming a portfolio with Stocks X and Y. XY Expected return, r (%) 22 17 Standard deviation, o (%) 31 24 Which of the following is TRUE about his portfolio? 1. The standard deviation of the portfolio cannot be smaller than 24%. II. The expected return of the portfolio cannot be larger than 22%. [The weights of X and Y are both positive.] ONeither I nor II I only OI and II O II only