Milo wants to know the about the standard deviation of a portfolio versus a single investment. You explain that the standard deviation of a portfolio:

A) Is a weighted average of the standard deviations of the individual securities held in the portfolio

B) Is an arithmetic average of the standard deviations of the individual securities which comprise the portfolio

C) Must be equal or greater than the lowest standard deviation of any single security held in the portfolio

D) Can never be less than the standard deviation of the most risky security in the portfolio

E) Can be less than the standard deviation of the least risky security in the portfolio