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Question 21 { Suppose that all assets in a portfolio have common standard deviation and common correlation as follows. N 1 of 1 N 02+ -po2 N Which of the following statements is true? A B The lower risk limit on a diversified portfolio depends on the common standard deviation Individual assets and diversified portfolios have the same variance A diversified portfolio's unique and market risks are equal if p=0 No idiosyncratic risk will exist if p=1 D