When Investment Returns Are Less Than Perfectly Positively Correlated,the Resulting

Multiple Choice

When investment returns are less than perfectly positively correlated,the resulting diversification effect means that:

A) making an investment in two or three large stocks will eliminate all of the unsystematic risk.
B) making an investment in three companies all within the same industry will greatly reduce the systematic risk.
C) spreading an investment across five diverse companies will not lower the total risk.
D) spreading an investment across many diverse assets will eliminate all of the systematic risk.
E) spreading an investment across many diverse assets will eliminate some of the total risk.
F) None of the above.