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True or False? -- Stock A has an expected return of 9.50% and a standard deviation of 12.00%. Stock B has an expected return of

True or False? -- Stock A has an expected return of 9.50% and a standard deviation of 12.00%. Stock B has an expected return of 5.00% and a standard deviation of 7.00%. The correlation coefficient of stocks A and B is 0.45. If the risk free rate is 2.50%, the portfolio that consists of 65% stock A and 35% stock B has a lower Sharpe ratio than both individual stocks

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