Which of the Following Statement(s) Is(are) True Regarding the Variance

question 43

Multiple Choice

Which of the following statement(s) is(are) true regarding the variance of a portfolio of two risky securities? I) The higher the coefficient of correlation between securities, the greater the reduction in the portfolio variance.
II) There is a linear relationship between the securities' coefficient of correlation and the portfolio variance.
III) The degree to which the portfolio variance is reduced depends on the degree of correlation between securities.

• A)I only
• B)II only
• C)III only
• D)I and II

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