Portfolio managers, who are maximizing risk-adjusted returns, will seek to invest less in securities with:

A. lower values for nonsystematic variance.

B. values of nonsystematic variance equal to 0.

C. higher values for nonsystematic variance.

The correct answer is C. I understand that portfolio managers need to invest in securities with less nonsystematic risk to maximize risk-adjusted returns, since the nonsystematic risk is diversible, and systematic risk is NOT diversible. However, I am confused why B is incorrect?

Is it because; there is no possibility to choose securities with values of nonsystematic variance that are equal to 0?