Your investment portfolio consists of $1 million invested in the FIN portfolio. The expected return of the fund is 11% and the is 46%. IBM has an expected return of 11.5% and volatility of 22%. The risk free rate is 5%. It has a correlation of 0.2 with the portfolio. Should you also invest in IBM? Assume the FIN portfolio is representatve of the market.

a.

Yes, IBM's expected return is higher than the portfolio

b.

Yes, IBM volatility is lower than the portfolio

c.

Not enough information to determine

d.

No, the expected return of IBM and the portfolio is lower than the individual expected returns