UPS, a delivery services company, has a beta of 1.3, and Wal-Mart has a beta of 0.9. The risk-free rate of interest is 4% and the market risk premium is 5.5%. What is the expected return on a portfolio with 60% of its money in UPS and the balance in Wal-Mart? 11.08% 9.94% 10.84% 10.27% We can reduce the volatility of stock portfolios without sacrificing expected returns by investing in less than perfectly correlated assets through diversification, because the expected return of a portfolio is the weighted average of the expected returns of its stocks, but the portfolio return volatility ........ is always zero. is lower than the weighted average volatility. is higher than the weighted average volatility. is the same as the weighted average volatility