Which of the following statements is true about diversification? O a. If the covariance between two securities is negative, then the portfolio's standard deviation can be reduced to zero O b. The benefit from diversification is maximized if the correlation coefficients is zero O c. The variance is the weighted average of the individual securities' variances O d. By diversifying, portfolio risk can be reduced to zero Oe. There is no benefit from diversification if the correlation coefficient is 1