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 1.0. You have a portfolio that consists of 50% A and 50% B. Which of the following statements is CORRECT? The portfolio's beta is greater than 1.2. The portfolio's beta is less than 1.2. The portfolio's standard deviation is zero (i.e., a riskless portfolio). The portfolio's return and standard deviation are 15% and 20%, respectively. The portfolio's standard deviation is 14.14%.