Stocks A and B each have an expected return of 15%, a standard deviation of 20%, and a beta of 1.2. The returns on the two stocks have a correlation coefficient of +0.6. You have a portfolio that consists of 50% A and 50% B. Which of the following statements is CORRECT?

a. The portfolio's standard deviation is greater than 20%.

b. The portfolio's beta is less than 1.2.

c. The portfolio's expected return is 15%.

d. The portfolio's standard deviation is 20%.

e. The portfolio's beta is greater than 1.2.