Stock X has an expected return of 12 percent, a beta of 1.2, and a standard deviation of 20 percent. Stock Y has an expected return of 10 percent, a beta of 1.2, and a standard deviation of 15 percent. Portfolio P has $900,000 invested in Stock X and $300,000 invested in Stock Y. The correlation between Stock Xs returns and Stock Ys returns is zero (that is, r = 0). Which of the following statements is most correct? *

a) Portfolio Ps expected return is 11.5 percent.

b) Portfolio Ps standard deviation is 18.75 percent.

c) Portfolio Ps beta is less than 1.2.

d) Statements a and b are correct.

e) None of the above