Based on the Information Given Below, Which of the Following

Based on the information given below, which of the following statements is incorrect?

A) Based on both risk and return, Investment D and Investment E should be considered equally risky.
B) If Investment F is negatively related to both Investment D and Investment E, then combining Investment F with both Investment D and Investment E would always produce a portfolio with lower risk than a portfolio of Investment F and either one of the other investments combined.
C) Investment F is the most desirable security for investors who are risk averse and who want to hold a one-security portfolio.
D) An investor can purchase positive amounts of Investment D and Investment F and form a two-security portfolio with a return greater than 18 percent and a standard deviation less than 10 percent.
E) None of the above statements is correct.