Which of A) Through C) Is FALSE

Multiple Choice

Which of a) through c) is FALSE?

A) The risk of an individual asset when held in a portfolio with a large number of assets depends on its covariance with other assets in the portfolio.
B) As the number of assets held in a portfolio increases, the covariance terms begin to dominate the portfolio variance calculation.
C) The extent to which risk is reduced by portfolio diversification depends on how highly the individual assets in the portfolio are correlated.
D) All of the above are true.
E) All of the above are false.