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Consider the following statements. I. As diversification increases, the total variance of portfolio return approaches 0. II. As diversification increases, the standard deviation of portfolio

Consider the following statements.

I. As diversification increases, the total variance of portfolio return approaches 0. II. As diversification increases, the standard deviation of portfolio return approaches that of the market portfolio.

III. As diversification increases, the firm-specific risk of a portfolio approaches n(n-1), where n is the number of securities in the portfolio.

Which of the following is correct?

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