Which of the following statement(s) is(are) false?

The higher the coefficient of correlation between two securities, the greater the reduction in the portfolio variance.

There is a linear relationship between the securities' coefficient of correlation and the portfolio variance.

Regarding the selection of a portfolio from those that lie on the capital allocation line, less risk-averse investors will invest more in the risk-free security and less in the optimal risky portfolio than more risk-averse investors.

Investors choose the portfolio that maximizes their expected utility.

All the statements are false except statement D