You have formed a portfolio of two securities. The portfolio weights, expected return, standard deviation (SD) of the individual securities and the correlation between security 1 and 2 are as follows: Security weight SD Correlation (1,2) E(R) 1 1.2=120%) 15% 25% 0.85 2 -0.2(=-20%) 5% 5% Also, there is a market portfolio and the market portfolio's expected return is E(R)=10% and standard deviation (SD) is 20%. Select a false statement. The standard deviation (SD) of the portfolio is 29.159. O The expected return of the portfolio should be 1796. If the correlation between the market portfolio and Security 1 is 0.35, the beta of Security 1 is 0.4375. The standard deviation (SD) of the portfolio is 8.5%. If the correlation between the market and Security 2 is -0.4, the beta of Security 2 is -0.1