In a Portfolio of Three Different Stocks, Which of the Following

In a portfolio of three different stocks, which of the following could not be true?

A) The riskiness of the portfolio is less than the riskiness of each of the stocks if they were held in isola¬tion.
B) The riskiness of the portfolio is greater than the riskiness of one or two of the stocks.
C) The beta of the portfolio is less than the beta of each of the individual stocks.
D) The beta of the portfolio is greater than the beta of one or two of the individual stocks' betas.
E) None of the above (that is, they all could be true, but not necessarily at the same time) .