QUESTION $14$

Half of a portfolio consists of stock A$,$ which has an expected return of $24\mathrm{.}00\%$ and a standard deviation of returns of $37\mathrm{.}18\%,$ and half of the portfolio consists of stock $B,$ which also has an expected return of $24\mathrm{.}00\%$ and a standard deviation of returns of $37\mathrm{.}18\%.$ If the returns of stock A and stock B do not move perfectly together in the same direction by the same relative amount, then which one of the following assertions is true?

The expected retum of the portfolio is not $24\mathrm{.}00\%$ and the standard deviation of the portfolio is $37\mathrm{.}18\%$

The expected return of the portfolio is $24\mathrm{.}00\%$ and the standard deviation of the portfolio is not $37\mathrm{.}18\%$

The expected return of the portfolio is not $24\mathrm{.}00\%$ and the standard deviation of the portfolio is not $37\mathrm{.}18\%$

The expected retum of the portfolio is $24\mathrm{.}00\%$ and the standard deviation of the portfolio is $37\mathrm{.}18\%$