Which statement about portfolio diversification is correct? a. b. Proper diversification can reduce or eliminate systematic risk. Diversification reduces the portfolio's expected return because it reduces the portfolio's total risk. c. The risk of a security held in a diversified portfolio is its co-variances d. As more securities are added to a portfolio, total risk would be expected to fall at an increasing rate The measure of risk for a security held in a diversified portfolio is standard deviation e