Consider the Following Information for Three Stocks, A, B, and C

Consider the following information for three stocks, A, B, and C. The stocks' returns are positively but not perfectly positively correlated with one another, i.e., the correlations are all between 0 and 1. $\begin{array}{llcc}&\text { Expected }&\text {Standard }\\\underline{ \text { Stock }}&\underline{ \text { Return }}&\underline{ \text { Deviation} }&\underline{ \text { Beta} }\\\text { A } & 10 \% & 20 \% & 1.0\\ \text {B} & 10 \% & 10 \% & 1.0 \\\text { C } & 12 \% & 12 \% & 1.4 \end{array}$

Portfolio AB has half of its funds invested in Stock A and half in Stock B. Portfolio ABC has one third of its funds invested in each of the three stocks. The risk-free rate is 5%, and the market is in equilibrium, so required returns equal expected returns. Which of the following statements is CORRECT?

A) Portfolio AB has a standard deviation of 20%.
B) Portfolio AB's coefficient of variation is greater than 2.0.
C) Portfolio AB's required return is greater than the required return on Stock A.
D) Portfolio ABC's expected return is 10.66667%.
E) Portfolio ABC has a standard deviation of 20%.