Which of the following statements is CORRECT?

a) A portfolio that consists of 100 stocks that are not highly correlated with

"the market" will probably be less risky than a portfolio of 100 stocks that are highly correlated with the market, assuming the stocks all have the same standard deviations.

b) A stock with an above-average standard deviation must also have an above-average beta.

) c) If portfolios are formed by randomly selecting stocks, a 10-stock portfolio

will always have a lower beta than a one-stock portfolio.

d) A two-stock portfolio will always have a lower standard deviation than a one-stock portfolio.

e) A two-stock portfolio will always have a lower beta than a one-stock portfolio