Based on the Information Given Below, Which of the Following

Based on the information given below, which of the following statements is incorrect? $\begin{array}{llll}&investment\\\text { Expected return, } & \underline{\mathrm{D}} & \underline{\mathrm{E}} & \underline{\mathrm{F}} \\\text { Standard deviation } \sigma & 15.0 \% & 18.0 \% & 18.0 \%\end{array}$

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.