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 $900,000 invested in stock A and $300,000 invested in stock B. The correlation between the two stocks' returns is zero. Which of the following statements is correct assuming both stocks have the same expected earnings? O a Portfolio AB's beta is less than 1.2 O b. The stocks are not in equilibrium based on CAPM; if A is valued correctly, then B is overvalued Oc. The stocks are not in equilibrium based on CAPM; if Ais valued correctly, then B is undervalue od Portfolio AB's expected return is 11.0%. O e Portfolio AB's standard deviation is 17.5%