QUESTION 2 Which of the following statements false? a. The standard deviation of the return on a portfolio of risky assets is equal to the weighted average of the standard deviations of the individual assets' returns. The correlation coefficient measures the extent to which two random variables move together and the b. direction of their comovement. C. A portfolio is efficient if no other assets or portfolios offer higher expected return with the same risk or lower risk with the same expected return. Od. Increasing the correlation among assets in a portfolio results in an increase in the standard deviation of the portfolio. Oe. A mean-variance investor makes investing decisions solely on expected return and risk