Which of the Following Statement(s) Is(are) True Regarding the Variance

Multiple Choice

Which of the following statement(s) is(are) true regarding the variance of a portfolio of two risky securities?I) The higher the coefficient of correlation between securities, the greater the reduction in the portfolio variance.II) There is a linear relationship between the securities' coefficient of correlation and the portfolio variance.III) The degree to which the portfolio variance is reduced depends on the degree of correlation between securities.

A) I only
B) II only
C) III only
D) I and II
E) I and III