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 always is false?

A) The riskiness of the portfolio is less than the riskiness of each of the stocks if they were held in isolation.
B) The riskiness of the portfolio is greater than the riskiness of one or two of the stocks.
C) The beta of the portfolio is lower than the lowest of the three betas.
D) The beta of the portfolio is lower than the highest of the three betas.
E) None of the above statements is obviously false, because they all could be true, but not necessarily at the same time.