information about stock X and the market portfolio, M: o Elr) Riskless Asset (1) 0.05 (5%) 0.00 Stock X ? 0.40 Market Portfolio 0.10 0.20 (M) You are not given the expected return of stock X. The correlation of the returns on the stock X and the market portfolio is equal to 0.40. Assume that stock X is part of the market portfolio Assume that the beta of stock X is equal to 1.6. Your friend Joao Terrivel is not paying attention to the Investments class and decides to invest $400 in market portfolio $300 in stock X and $300 in the risk free asset. What is the standard deviation of the effcient portfolio that delivers the same expected return: 13.7% 8.8% 22 396 11.6% 20.1%