Which One of the Following Statements Is True

Multiple Choice

Which one of the following statements is true?

A) Risk and return are inversely related.
B) Investors are compensated only for diversifiable risk.
C) The beta of a portfolio may be lower than the lowest beta of any individual security held within the portfolio.
D) How a security affects the risk of a portfolio is less important than the actual risk of the security itself.
E) Investing has two dimensions: risk and return.