Duncan Manz believes that he has found an error in a sample CFA Study Program question. Prior to e-mailing the provider about the error, he discusses his logic with Julia Cook, a fellow finance student at the Hess School of Business. Manz does not believe that the following question provides enough information to completely answer the question. Cook disagrees. Who is correct Manz or Cook And, if Cook is correct, what is the correct answer Question: An investor’s portfolio currently consists of 100% of stocks that have a mean return of 18 percent and an expected variance of 0.0625. The investor plans to diversify slightly by replacing 30 percent of her portfolio with U. S. Treasury bills that earn 4.25 percent. Assuming the investor diversifies, what are the expected return and expected standard deviation of the portfolio()

单项选择题Which of the following statements about portfolio risk is true （）

A. In the absence of perfectly positive correlation, a portfolio will always have lower risk than the average risk of the component assets.
B. In the absence of perfectly positive correlation, a portfolio will always have lower risk than the risk of each of the component assets.
C. In the absence of perfectly negative correlation, a portfolio will always have lower risk than the average risk of the component assets.

单项选择题Given the following data what is the correlation coefficient between the two stocks and the Beta of stock A standard deviation of returns of Stock A is 10.04 percent standard deviation of returns of Stock B is 2.05 percent standard deviation of the market is 3.01 percent covariance between the two stocks is 0.00109 covariance between the market and stock A is 0.002 Correlation Coefficient Beta ( stock A)（）①A. 0.6556 0.06 ②B. 0.5296 0.06 ③C. O.5296 2.2

A. ①
B. ②
C. ③