When two risky securities that are positively correlated but not perfectly correlated are held in a portfolio,

A.the portfolio standard deviation is always equal to the securities' covariance.

B.the portfolio standard deviation is less than the weighted average of the individual security standard deviations.

C.None of the options

D.the portfolio standard deviation is greater than the weighted average of the individual security standard deviations.

E.the portfolio standard deviation is equal to the weighted average of the individual security standard deviations.