more risk, more return

a. A phrase heard frequently in finance is “more risk, more return.” If I invest my entire portfolio in one stock, High Growth Energy Corporation (HGEC), I am taking substantial risk because “all my eggs are in one basket.” Should I expect a higher return than I would if I had diversified my portfolio because I am taking so much risk? Explain.
b. Explain the difference in correlated (market) risk and uncorrelated (diversifiable) risk.