The standard deviation of security X is 22%, the standard deviation of security Y is 14%, and the standard deviation of the market is 15%. The correlation between security X and Y is 0.95, the correlation between security X and the market is 0.34, and the correlation between security Y and the market is 0.86. Given the information in this problem, which security (Security X, Security Y, or the market portfolio) should have the highest expected return under CAPM? Why?