Which of the following statements is correct?

A) It is possible to have a situation in which the market risk of a single stock is less than the market risk of a portfolio of stocks.

B) The market risk premium will increase if, on average, market participants become more risk averse.

C)If you selected a group of stocks whose returns are perfectly positively correlated, then you could end up with a portfolio for which none of the unsystematic risk is diversified away.

D)All of the statements above are correct.