Which of the statements about investment risk is not correct?

Select one:

a. By putting shares into a portfolio, one share's increase in the return can be offset by the decrease in another share's return, thus reducing the volatility in the aggregate portfolio return.

b. The market portfolio is fully diversified and thus has no risk.

c. Diversification helps reduce the idiosyncratic risk.

d. A sudden decrease in the share price due to the exposure of a company's financial scandal is an example of unsystematic risk.