Question: Which statement is TRUE? A single stock contains significant idiosyncratic risk. So as more stocks are added to a portfolio, idiosyncratic risk increases. The measure

Which statement is TRUE?
A single stock contains significant idiosyncratic risk. So as more stocks are added to a portfolio, idiosyncratic risk increases.
The measure of a security's contribution to risk when held in a portfolio is the security's co-variance with that of all other securities in the portfolio.
Proper diversification can eliminate systematic risk.
All of these statements are false.
Diversification always reduces the portfolios expected return because it reduces the portfolios total risk.
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