Which of the following statements is FALSE?
A) Because the prices of shares do not move identically, some of the risk is averaged out in a portfolio.
B) Correlation is the expected product of the deviations of two returns.
C) The covariance and correlation allow us to measure the co-movement of returns.
D) The amount of risk that is eliminated in a portfolio depends on the degree to which the shares face common risks and their prices move together.
Correct Answer:
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