Which of the following statements is the least accurate? Since investors are compensated for holding risk, two securities with the same standard deviation should have the same O a. expected return. ob. While diversification can reduce unsystematic risk, the systematic risk cannot be eliminated. C. When two assets are perfectly correlated (that is, the correlation is one), the investment opportunity set does not improve. In other words, there is no diversification benefit. od. The beta of the market portfolio is one. If two assets are perfectly negatively correlated (that is, the correlation is negative one), then there is a portfolio of the two Oe. assets with a variance of zero