Stock A has a beta of 1.2 and a standard deviation of 25%.

Stock B has a beta of 1.4 and a standard deviation of 20%.

Portfolio AB was created by investing in a combination of Stocks A and B.

Portfolio AB has a beta of 1.25 and a standard deviation of 18%.

Which of the following statements is CORRECT?

OPTIONS:

A)	Portfolio AB has more money invested in Stock B than in Stock A.

B)	Stock A has more market risk than Stock B but less stand-alone risk.

C)	Portfolio AB has more money invested in Stock A than in Stock B.

D)	Portfolio AB has the same amount of money invested in each of the two stocks.

E)	Stock A has more market risk than Portfolio AB.