What would happen to the standard deviation of Portfolio P that holds $1million of Stock A and $1.5 million of Stock B, if the correlation between the two stocks changes from 0.8 to 0.42 Stock A has an expected return of 12% and a standard deviation of its return of 20%. Stock B has an expected return of 18% and a standard deviation of its return of 35%. The portfolio standard deviation would increase. The portfolio standard deviation would decrease. The portfolio standard deviation will not change