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. Expected Standard Stock Return Deviation Beta A 10% 20% 1.0 B 10% 10% 1.0 12% 12% 1.4 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 cach of the three stocks. Portfolio AC has half its funds in A and half in C. 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? Portfolio AC's expected return is 11.00%. Portfolio ABC has a standard deviation of 20%, Portfolio AB's required return is greater than the required return on Stock A. Portfolio AB's coefficient of variation is greater than 2.0. Portfolio AB has a standard deviation of 20%