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

question 23

Multiple Choice

Which of the following statement(s) is(are) false 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
• E) I and III

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