You have 4 risky assets that are positively correlated with each other, but not perfectly correlated. Each of the 4 assets have an expected return of 15% and a standard deviation of 20%. Which of the following statements is true if you build a portfolio with equal weights of all 4 assets?

a. The Portfolios expected return = 15% and the standard deviation will be < 20%

b. The Portfolios expected return < 15% and the standard deviation will be > 20%

c. The Portfolios expected return = 15% and the standard deviation will be = 20%

d. The Portfolios expected return < 15% and the standard deviation will be < 20%