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 shares, but the volatility of a portfolio:

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