Use the Following Two Statements to Answer This Question

Multiple Choice

Use the following two statements to answer this question:

A) I is incorrect, II is correct.
B) I is correct, II is incorrect.
C) I and II are incorrect.
D) I and II are correct.
I.The expected return on a portfolio is the equally weighted average of the expected returns on the individual securities in the portfolio.
II.The standard deviation of a portfolio reflects the weighted impact of the individual securities' standard deviations and the relationship among the co-movements of the returns on those individual securities.