Assume the following information for stocks A and B.
* Standard deviation of returns on Stock A = 40%.
* Standard deviation of returns on Stock B = 50%.
* Expected return on Stock A = 18%.
* Expected return on Stock B = 23%.
* Correlation between returns of Stock A and Stock B = 0.10.
The expected return and standard deviation of an equally weighted portfolio of stocks A and B are closest to:
A. Expected return (%): 20.5, Standard deviation (%): 33.54.
B. Expected return (%):20.5, Standard deviation (%): 11.22.
C. Expected return (%): 33.5, Standard deviation (%): 11.22.
D. Expected return (%): 33.5, Standard deviation (%):33.54.
Answer：A
 

 
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