Question 13 In a portfolio of three randomly selected stocks, which of the following could NOT be true; i.e., w 0 The standard deviation of the portfolio is greater than the standard deviation of one or two of the stocks. O The beta of the portfolio is lower than the lowest of the three betas. hich statement is false? The beta of the portfolio is equal to one of the three stock's betas. O The beta of the portfolio is equal to 1 The standard deviation of the portfolio is less than the standard deviation of each of the stocks if they were held in isolatio