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You are given the following data on two stocks (A and B): Stock A Stock B Expected return 10% 12% Variance 0.04 0.09 You are

You are given the following data on two stocks (A and B):

Stock A Stock B Expected return 10% 12% Variance 0.04 0.09 You are unsure about the correlation of the two stocks. What is the highest possible variance for an equally-weighted portfolio?

(Hint: think about which assumption on the correlation leads to the highest portfolio variance)

Group of answer choices

0.0625

0.0535

0.0650

0.0400

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