Stocks A, B, and C all have an expected return of 10% and a standard deviation of 25%. Stocks A and B have returns that are INDEPENDENT of one another, i.e., their correlation coefficient, r, equals zero. Stocks A and C have returns that are NEGATIVELY CORRELATED with one another, i.e., r is less than 0. Portfolio AB is a portfolio with half of its money invested in Stock A and half in Stock B. Portfolio AC is a portfolio with half of its money invested in Stock A and half invested in Stock C. Which of the following statements is correct? Portfolio AB has a standard deviation that is equal to 25%. Portfolio AC has a standard deviation that is less than 25%. Portfolio AB has a standard deviation that is greater than 25%. Portfolio AC has an expected return that is greater than 25%. Stock A has an expected return of 12%, a beta of 1.2, and a standard deviation of 20%. Stock B also has a beta of 1.2, an expected return of 10%, 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 (that is, r_AB = 0). Which of the following statements is correct? Portfolio AB's beta is less than 1.2. The stocks are not in equilibrium based on the CAPM; if A is valued correctly, then B is overvalued. The stocks are not in equilibrium based on the CAPM; if A is valued correctly, then B is undervalued. Portfolio AB's expected return is 11.0%