Which of the following statement(s) is(are) true regarding the variance of a portfolio of two risky securities with no shorting allowed? 1) The lower the coefficient of correlation between securities, the greater the reduction in the portfolio variance. II) A zero variance portfolio can be created if the correlation between the two securities is 0. III) The degree to which the portfolio variance is reduced depends only on the variance of each security. O III ODI O II and III O I and II O I, II, and III OT