Which of the Following Statements Is Correct

Which of the following statements is correct?

A) If the returns from two shares are perfectly positively correlated and the two shares have equal variance, an equally weighted portfolio of the two shares will have a variance which is less than that of the individual shares.
B) If a share has a negative beta, its expected return must be negative.
C) According to the CAPM, shares with higher standard deviations of returns will have higher expected returns.
D) A portfolio with a large number of randomly selected shares will have less market risk than a single share with has a beta equal to 0.5.
E) None of the above statements are correct.