For the following question, the correct answer is C, but why option B is false? 17. Which of the following statements is (are) true regarding the variance of a portfolio of two risky securities? A. The higher the coefficient of correlation between securities, the greater the reduction in the portfolio variance. B. There is a linear relationship between the securities' coefficient of correlation and the portfolio variance. C. The degree to which the portfolio variance is reduced depends on the degree of correlation between securities. D. The higher the coefficient of correlation between securities, the greater the reduction in the portfolio variance and there is a linear relationship between the securities' coefficient of correlation and the portfolio variance. E. The higher the coefficient of correlation between securities, the greater the reduction in the portfolio variance and the degree to which the portfolio variance is reduced depends on the degree of correlation between securities. When we calculate the portfolio variance with 2 risky asset, we hava: p2=(w11)2+(w22)2+2w1w2Cov1,2=(w11)2+(w22)2+2w1w2121,2 If we assume other variable are constant, and let p2 (which is the portfolio variance) be y, and let 1,2 (which is the securities' coefficient of correlation) be x, we will have something like: Y=ax+b, this is linear, so why option B is false