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

question 20

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.


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