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Which of the following statement(s) is(are) true regarding the variance of a p...

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Which of the following statement(s) is(are) true regarding the variance of a portfolio of two risky securities?

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

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

III. The degree to which the portfolio variance is reduced depends on the degree of correlation between securities.

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