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 standard deviation is zero (i.e., a riskless portfolio).
		The portfolio's beta is greater than 1.2.
		The portfolio's standard deviation is greater than 20%.
		The portfolio's expected return is less than 15%.
		The portfolio's beta is less than 1.2.