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Security A has an expected return of 7%, a standard deviation of returns of 35%, a correlation coefficient with the market of -0.3, and a beta coefficient of -1.5. Security B has an expected return of 12%, a standard deviation of returns of 10%, a correlation with the market of 0.7, and a beta coefficient of 1.0. Given this information which of the following statements is true? Pick the most reasonable answer. O a Security A is more risky than Security B if held in a diversified portfolio. O b. In isolation Security A would be less risky than Security B. O c. In a portfolio of Securities A and B where each security comprised 50% of the total portfolio value, Security A would provide the portfolio with more protection against downward movements in the market than that provided by Security B O d.The negative correlation coefficient of Security A provides some diversification effect to counter Security As negative beta coefficient. O e. If both Securities A and B were placed in a portfolio where each comprised 50% of the total portfolio value, the standard deviation of the portfolio's return would be equal to .50(35%) 50 (10% 22.50%