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11. A portfolio consists of two investments whose returns are negatively correlated. Which of the following statement is incorrect? a. The portfolios expected return is

11. A portfolio consists of two investments whose returns are negatively correlated. Which of the following statement is incorrect?

a. The portfolios expected return is between the expected returns of the two investments in the portfolio

b. The portfolios beta is between the betas of the two investments in the portfolio

c. The standard deviation of the portfolios expected return is between the standard deviations of the two investments in the portfolio

d. The portfolios coefficient of variation is smaller than that of any investment in the portfolio

Please explain

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