Consider the following information for three stocks, Stock A$,$ B$,$ and $C.$ The returns on the three stocks are positively correlated, but they are not perfectly correlated. $($That is$,$ each of the correlation coefficients is between $0$ and $1.)$

Stock Expected Return Standard Deviation Beta

$\backslash$table$[[$A$,9\mathrm{.}00\%,15\%,0\mathrm{.}8],[$B$,$Question $($a$),15\%,1\mathrm{.}2],[$C$,12\mathrm{.}5\%,15\%,1\mathrm{.}6]]$

Atlas Capital Allocation Fund has one$-$third of its funds invested in each of the three stocks.

a$)$ If the Capital Asset Pricing Model $($CAPM$)$ holds, what must be Stock B$\text{'}$s expected return?

b$)$ What is the portfolio beta of Atlas Capital Allocation Fund?

c$)$ Would you expect the standard deviation of Atlas Capital Allocation Fund's portfolio to be less than $15\%,$ equal to $15\%,$ or greater than $15\%?$ Explain.

d$)$ Which of the three stocks has the highest diversifiable risk? Explain.