We Can Reduce Volatility by Investing in Less Than Perfectly

We can reduce volatility by investing in less than perfectly correlated assets through diversification because the expected return of a portfolio is the weighted average of the expected returns of its stocks, but the volatility of a portfolio ________.

A) is higher than the weighted average volatility
B) is independent of weights in the stocks
C) is less than the weighted average volatility
D) depends on the expected return