Assume a portfolio contains stocks of 25 different companies, and the weights of each are unequal. Also assume the various potential economic states have unequal likelihoods of occurring. Which one of the following statements is accurate?

• The weights of the individual securities have no effect on the expected return of a portfolio when multiple states of the economy are involved.

• Changing the probabilities of occurrence for the various economic states will not affect the expected standard deviation of the portfolio.

• The standard deviation of the portfolio will be greater than the highest standard deviation of any single security in the portfolio given that the individual securities are well diversified.

• Given the unequal weights of both the securities and the economic states, the standard deviation of the portfolio must equal that of the overall market.

• Given both the unequal weights of the securities and the economic states, an investor might be able to create a portfolio that has an expected standard deviation of zero.