14. Clapter MC, Section , 116, Problem 667 Consider the following information for three stocks, A, B, and C. The stocks' returns are positively but not perfectly positively correlated with one another, liey, the correlations are all between 0 and 1 . Portfolio AB has half of its funds invested in Stock A and half in Stock. B. Portfolio ABC has one third of its funds irvested in each of the three stocks. The Figk-free rate is 5%, and the market is in equllbrium, so required returns equal expected ceturns. Which of the following statements is CORRECT? a. Portfolio ABC's expected return is 10.66667%. b. Portfolio ABC has a standard deviation of 20%. 5. Portfolio AB has a standard deviation of 20%. 4. Portfolio AB 's required return is greater than the required return on S tock A. e. Portfolio AB's coefficient of variation is greater than 2.0