In a Portfolio of Three Randomly Selected Stocks, Which of the Following

Multiple Choice

In a portfolio of three randomly selected stocks, which of the following could NOT be true; i.e., which statement is false?

A) The standard deviation of the portfolio is greater than the standard deviation of one or two of the stocks.
B) The beta of the portfolio is lower than the lowest of the three betas.
C) The beta of the portfolio is equal to one of the three stock's betas.
D) The beta of the portfolio is equal to 1.
E) The standard deviation of the portfolio is less than the standard deviation of each of the stocks if they were held in isolation.