Tests indicate that prices do not reflect insider information, but that most other informaation is reflected in price. Note that not all information will be reflected in price even in an efficient market if there are transaction costs. When we are dealing with uncertainty we have to talk in terms of 'expected' returns. All expectations are just weighted averages of probabilities and something else. We have thus far discussed individual assets.
Most investors actually own portfolios of assets.
Just as we can discuss the expected return and variance of an individual asset, we can discuss the expected return and variance of a portfolio. The expected return for a portfolio is simply a weighted average of all the individual expected returns. The portfolio variance and standard deviation can be calculated in the same way as for individual assets if we know all the possible portfolio returns and probabilities. Consider buying an individual stock. The surprise or unexpected part of your return arises from two sources.