What is the relationship of the portfolio standard deviation to the weighted average of the standard deviations of the component assets? Choose the most correct answer.

A.The portfolio standard deviation is always the weighted average of the standard deviations of the component assets.

B.The portfolio standard deviation is the weighted average of the standard deviations of the component assets if the two assets are perfectly positively correlated.

C.The portfolio standard deviation is the weighted average of the standard deviations of the component assets if the two assets are perfectly negatively correlated.

D.The portfolio standard deviation is the weighted average of the standard deviations of the component assets if the two assets are not correlated (correlation 0).

E. None of the above

I know there are textbook solutions for this particular question but I want to make so I'm absolutely certain I'm making the right choice, since these responses are worded differently according to my professor's powerpoint. Would the answer be C?