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?

a. Portfolio AC has an expected return that is less than 10%.

b. Portfolio AC has an expected return that is greater than 25%.

c. Portfolio AB has a standard deviation that is greater than 25%.

d. Portfolio AB has a standard deviation that is equal to 25%.

e. Portfolio AC has a standard deviation that is less than 25%.