4 > 7 1 19 5 - 2 8 10 11 12 1. > 6 > 13 14 15 . 9 16 17 18 1 23 24 20 21 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. Stock Return A B Expected Standard C 10% 10% 12% Deviation 20% 10% 12% Beta 1.0 1.0 1.4 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? Portfolio AB has a standard deviation of 20%. Portfolio AB's coefficient of variation is greater than 2.0. Portfolio AB's required return is greater than the required return on Stock A. Portfolio ABC's expected return is 10.66667%. 200/