4 of 30 Which of the following statements is true about diversification? O a. O b. There is no benefit from diversification if the correlation coefficient is 1 The variance is the weighted average of the individual securities' variances The benefit from diversification is maximized if the correlation coefficients j Oc. zero O d. By diversifying, portfolio risk can be reduced to zero e. If the covariance between two securities is negative, then the portfolio's standard deviation can be reduced to zero