e$.$ Using your responses to questions a through d$,$ which of the following statements best describes the relationship between the correlation and the risk and return of the portfolio?

A$.$ The correlation coefficient has a negative effect on the expected return of a portfolio, and the closer the correlation coefficient is to negative one, $-1,$ the lower the risk.

B$.$ The correlation coefficient has no effect on the expected return of a portfolio, but the closer the correlation coefficient is to one, the lower the risk.

C$.$ The correlation coefficient has no effect on the expected return of a portfolio, but the closer the correlation coefficient is to negative one, $-1,$ the higher the risk.

D$.$ The correlation coefficient has no effect on the expected return of a portfolio, but the closer the correlation coefficient is to negative one, $-1,$ the lower the risk.