Which of the following statements is FALSE regarding the risk of a portfolio comprised of two risky securities A & B?

Group of answer choices

It is possible for the risk of a portfolio comprising A & B to be less than the risk of either A or B

All else equal, the higher the correlation between A & B, the higher the portfolio's Sharpe Ratio.

If the correlation between A & B is +1, the risk of the portfolio comprising A & B is simply the weighted average of the volatilities of A & B.

Cov(A,B) = vol(A) * vol(B) * correl(A,B)

If the correlation between A & B is -1, a risk free portfolio comprising A & B can be constructed that would have an expected return equal to the risk free rate.