[单选题]

An investor currently holds the following portfolio of common stocks:

The expected correlation of returns between Stock 1 and Stock 2 is +0.60. The investor sells Stock 2 and uses the $60,000 proceeds to purchase another stock that has the same expected annual return and standard deviation of returns as Stock 2, but has an expected correlation of returns with Stock 1 of +0.55. Will the investor's action increase the portfolio's expected:
annual return?    standard deviation of return?

A.No        No

B.No        Yes

C.Yes        No

参考答案与解析:

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