Nelson's portfolio of $20,000 consists of 2 stocks, Stock H and Stock J. Nelson hold's $10,000 each stock.

Consider the information below about Stock H and Stock J:

H and J Expected return = 15%

H and J Standard Deviation of Returns = 20%

Correlation of the Returns of Stocks H and J = 0.42

H and J Beta = 1.25

Choose the statement below that is CORRECT.

a-Nelson's portfolio has a beta that is less than 1.25

b-Nelson's portfolio has a standard deviation equal to 20%

c-Nelson's portfolio has an expected return of 15%

d-Nelson's portfolio has a standard deviation that is greater than 20%

e-Nelson's portfolio has beta that is greater than 1.25