Stock A has an expected return of 12%, a beta of 1.2, and a standard deviation of 20%. Stock B also has a beta of 1.2, b

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Stock A has an expected return of 12%, a beta of 1.2, and astandard deviation of 20%. Stock B also has a beta of 1.2, but itsexpected return is 10% and its standard deviation is 15%. PortfolioAB has $300,000 invested in Stock A and $100,000 invested in StockB. The correlation between the two stocks' returns is zero (thatis, rA,B = 0). Which of the following statements is CORRECT?
a. Portfolio AB's expected return is 11.0%.b. Portfolio AB's standard deviation is 17.5%.c. The stocks are not in equilibrium based on the CAPM; if A isvalued correctly, then B is undervalued.d. The stocks are not in equilibrium based on the CAPM; if A isvalued correctly, then B is overvalued.e. Portfolio AB's beta is less than 1.2.