If a stock portfolio is well diversified, which of the following statements about the portfolio standard deviation are correct?

I. The portfolio standard deviation will mostly reflect systematic risk

II. The portfolio standard deviation will be equal to 1.

III. The portfolio standard deviation can be completely diversified away.

IV. The portfolio standard deviation will be equal to or greater than the standard deviation of the most risky stock in the portfolio.

V. The portfolio standard deviation will be greater than a weighted average of the standard deviation of the individual stocks in the portfolio.

VI. The portfolio standard deviation will be smaller than a weighted average of the standard deviation of the individual stocks in the portfolio.

A)I and VI B)II and III C)IV and V D)I and II E)III and VI