All of the Following Statements Are True EXCEPT

All of the following statements are true EXCEPT:

A) The standard deviation of a portfolio of assets is the weighted average of the standard deviations of the assets in the portfolio.
B) The expected return on a portfolio of assets is the weighted average of the expected returns of the assets in the portfolio.
C) The expected return on an asset held by itself is the weighted average of the possible outcomes, where the weights reflect the probability of each outcome.
D) The risk of an asset held by itself can be measured by the standard deviation of the expected returns.