Consider the following information for three stocks, A$,$ B$,$ and C$.$ The stocks' returns are positively but not perfectly positively correlated with one another, i$.$e$.,$ the correlations are all between $0$ and $1.$

$\backslash$table$[[$Stock$,\backslash$table$[[$Expected$],[$Return$]],\backslash$table$[[$Standard$],[$Deviation$]],$Beta$],[$A$,10\%,20\%,1\mathrm{.}0],[$B$,10\%,10\%,1\mathrm{.}0],[$C$,12\%,12\%,1\mathrm{.}4]]$

Portfolio $AB$ has half of its funds invested in Stock A and half in Stock B$.$ Portfolio ABC has one third of its funds invested in each of the three stocks. The risk$-$free rate is $5\%,$ and the market is in equilibrium, so required returns equal expected returns. Which of the following statements is CORRECT?