Consider an equally-weighted portfolio of N risky assets each with the same expected return E[R] and the same standard deviation o > 0. Which of the following statements are true? OA. The portfolio's expected return is equal to E[R]. B. Holding N, E[R] and o fixed, lowering the average correlation between the risky asset returns lowers the variance of the portfolio's return. C. The variance of the portfolio's return is always non-negative. D. Both A and C. E. All the above