Select a false statement. O A portfolio with two securities with a perfect positive correlation correlation=1), the portfolio risk can be reduced. O A portfolio with two securities with a perfect negative correlation (correlation=-1), we can eliminate the portfolio risk altogether. As the number of securities increases in a portfolio, you can reduce idiosyncratic risk of the portfolio. O Beta of a security captures how responsive the security return is to overall market movement, and can be calculated as covariance between the security and the market return divided by the variance of the market return