Please show working out/theory

Consider three assets X, Y and Z, which are all fairly priced by the CAPM Asset X has a return standard deviation of 30%. Asset Y has a return standard deviation of 15%. Asset Z has an idiosyncratic risk (i.e., the standard deviation of the residual return component which is uncorrelated with the market return) of 20%. Which asset has the highest expected return? Select one: A. There is no enough information to tell. B. Asset X because it has the highest total risk. C. Asset Y because it has the lowest total risk. D. Asset Z because it has the highest idiosyncratic risk E. All three assets have the same expected return