Which of the Following Statements Is Most Correct

Which of the following statements is most correct?

A) It is possible to have a situation where the market risk of a single stock is less than the market risk of a portfolio of stocks.
B) The market risk premium will increase if, on average, market participants become more risk averse.
C) If you selected a group of stocks whose returns are perfectly positively correlated, then you could end up with a portfolio for which none of the unsystematic risk is diversified away.
D) Statements a and b are correct.
E) All of the statements above are correct.