Which of the Following Is TRUE About Diversification

Multiple Choice

Which of the following is TRUE about diversification?

A) By diversifying, portfolio risk can be reduced to zero.
B) There is no benefit from diversification if the correlation coefficient is 1.
C) The variance is the weighted average of the individual securities' variances when the correlation is equal to -1.
D) If the covariance between two securities is negative, then the portfolio's standard deviation can be reduced to zero.