Which Statements Are TRUE Regarding Risk and Return

Multiple Choice

Which statements are TRUE regarding risk and return?
Statement I: Diversification is the process of removing systematic risk from a portfolio.
Statement II: In general, the greater the risk, the greater the return required by an investor.
Statement III: Investors should focus on real returns if they are concerned about the purchasing power of their wealth.

A) Statement I only
B) Statements I and III only
C) Statements II and III only
D) Statements I and II only