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2. (10 points) There are two stocks, A and B with historical returns given in the table below. Assume you create a portfolio that is 60% stock A and 40% stock B. What is the correlation between stock A and stock B? What is the expected return (arithmetic mean) of stock A, stock B, and the 60/40 portfolio? What are the variance and standard deviation of returns of stock A, stock B, and the 60/40 portfolio? B A 17% 1 12% 2 -2% 4% 13 18% 6% 4 6% 10% 5 12% 11%