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Which of the following statements about portfolio theory is least accurate? A. When the return on an asset added to a portfolio has a correlation coefficient of less than one with the other portfolio asset returns but has the same risk, adding the asset will not decrease the overall portfolio standard deviation. B. Assuming that the correlation coefficient is less than one, the risk of the portfolio will always be less than the simple weighted average of individual stock risks. C. For a two-stock portfolio, the lowest risk occurs when the correlation coefficient is close to negative one. |