Which of the following statements is incorrect? The expected return on a portfolio is independent of the unsystematic risks of the individual securities held in the portfolio. The expected return on a portfolio does not consider the projected states of the economy nor the probability of occurrence of each state of the economy. The expected return on a portfolio can never exceed the expected return of the best performing security in the portfolio. The portfolio beta cannot be lower than the lowest individual beta in the portfolio nor greater than the highest individual beta in the portfolio. A decrease in the standard deviation of the portfolio indicates the portfolio is being effectively diversified