3 pts Question 20 Stocks A Band Call have an expected return of 10% and a standard deviation of 25%. Stocks A and B have returns that are independent of one another, ie, their correlation coefficient, requals zero. Stocks A and Chave returns that are negatively correlated with one another, ler is less than 0. Portfolio AB is a portfolio with half of its money invested in Stock A and hallin Stock B Portfolio AC is a portfolio with half of its money invested in Stock A and half invested in Stock C. Which of the following statements is CORRECT? O Portfolio AC has a standard deviation that is less than 25%. Portfolio AB has a standard deviation that is equal to 25%. Portfolio AC has an expected return that is greater than 25%. Portfolio AB has a standard deviation that is greater than 25%. Portfolio A has an expected return that is less than 10%. MacBook Pro