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

Expected

Return

Standard

Deviation

$$

Beta

A

$10\%$

$20\%$

$1\mathrm{.}0$

B

$10\%$

$10\%$

$1\mathrm{.}0$

C

$12\%$

$12\%$

$1\mathrm{.}4$

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?

Question $19$ options:

Portfolio AB's required return is greater than the required return on Stock A$.$

Portfolio AB has a standard deviation of $20\%.$

Portfolio AB's coefficient of variation is greater than $2\mathrm{.}0.$

Portfolio ABC has a standard deviation of $20\%.$

Portfolio ABC's expected return is $10\mathrm{.}66667\%.$