Stock A has an expected return of 12%, a beta of 1.2, and a standard deviation of 20%. Stock B has an expected return of 10%, a beta of 1.2, and a standard deviation of 15%. Portfolio AB has $700,000 invested in Stock A and $300,000 invested in Stock B. The correlation between the two stocks' returns is zero (that is, r A,B = 0). Which of the following statements is correct?

A) Portfolio AB's expected return is 11.0%.

B) Portfolio AB's standard deviation is 17.5%.

C) Portfolio AB's beta is less than 1.2.

D) The stocks are not in equilibrium based on the CAPM; if A is valued correctly, then B is overvalued.

E) The stocks are not in equilibrium based on the CAPM; if A is valued correctly, then B is undervalued.