Which of the following is correct? I. Diversification can only eliminate firm-specific risk, but not market risk. II. Even if correlations are positive, the portfolio standard deviation will be less than the weighted average of the component standard deviations, as long as the assets are not perfectly positively correlated. III. The efficient frontier of risky assets is the graphical representation of the set of portfolios that minimizes portfolio expected return for a given level of portfolio standard deviation

A. I only

B. I & II only.

C. I & III only

D.I, II, and III