For what value of the correlation does the diversification effect disappear? Hint: Compute the value for the correlation such that the minimum variance portfolio involves a short position in one of the assets

Asset A (expected return) = 0.1

Asset A (standard deviation) = 0.25

Asset B (expected return) = 0.2

Asset B (standard deviation) = 0.35

a) correlation between A and B greater than 0.714

b) correlation between A and B less than 0.714, but greater than 0

c) correlation between A and B less than -0.714 but greater than -1.0

d) correlation between A and B less than -1.00

e) None of the above.