Some of a portfolio consists of stock A, which has an expected return of 17.80% and a standard deviation of returns of 20.22%, and the rest

of the portfolio consists of stock B, which has an expected return of 17.80% and a standard deviation of returns of 20.22%. 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? Assume that the portfolio has at least some stock A and some stock B.

O The expected return of the portfolio is 17.80% and the standard deviation of the portfolio is 20.22

O The expected return of the portfolio is 17.80% and the standard deviation of the portfolio is not 20.22

O The expected return of the portfolio is not 17.80% and the standard deviation of the portfolio is 20.22

O The expected return of the portfolio is not 17.80% and the standard deviation of the portfolio is not 20.22

O The question can not be answered without more specific information on how much of the portfolio consists of stock A and how much consists

of stock B