You have divided your money equally between two stocks. Both have expected returns of 12%, standard deviations of 18%, and s of 1.1. Assume the returns of the two stocks are not perfectly positively correlated. Which of the following statements is (are) necessarily true? (a) The expected return on your portfolio is 12%. (b) The standard deviation of the portfolio returns is 18%. (c) The of your portfolio is less than 1.1. (d) Both A and B are true statements.