Which of the following statements is incorrect? Select one: a. When two risky securities with a correlation of less than one, the portfolio standard deviation will be less than the weighted average of the individual security standard deviations. b. Standard deviation measures the unsystematic risk and beta measures the systematic risk of a portfolio c. All the statements are correct. O d. There is no benefit from diversification if the correlation coefficient is 1. e. In general, the geometric mean is smaller than the arithmetic mean. NO