Which statement is correct regarding the following information?

- Shares in company Y have an expected return of 7%, standard deviation of 15% and beta coefficient of 1.2

- Shares in company X have an expected return of 15%, standard deviation of 30% and beta coefficient of -0.5.

a. Security Y is less risky if held in a diversified portfolio because of its positive correlation with market portfolio

b. In a single asset portfolio, security Y would be riskier because its coefficient of variation is higher than security X

c. Security X is riskier if held in a diversified portfolio because of its beta coefficient of -0.5

d. In a single asset portfolio, security X would be riskier because its coefficient of variation is higher than security Y.