11. In a portfolio of three randomly selected stocks, which of the following statements is most likely to be incorrect? a) The beta of the portfolio is the weighted sum of the three betas. b) The standard deviation of the portfolio is the weighted sum of the three standard deviations if the correlation among the three returns is +1. c) The portfolio return is the weighted sum of the three returns. d) The portfolio is fully diversified, i.e., free of unsystematic risk