Which statement is TRUE?

Group of answer choices

Diversification always reduces the portfolios expected return because it reduces the portfolios total risk.

A single stock contains significant idiosyncratic risk. So as more stocks are added to a portfolio, idiosyncratic risk increases.

Proper diversification can eliminate systematic risk.

The measure of a security's contribution to risk when held in a diversified portfolio is the security's standard deviation.

All of these statements are false.