Question: Stocks A, B & C have the same expected return and standard deviation. The correlations between the returns of these stocks are shown in the

Stocks A, B & C have the same expected return and standard deviation. The correlations between the returns of these stocks are shown in the table below.

Stocks A, B & C have the same expected return and standard

Given these correlations, the portfolio constructed from these stocks having the lowest risk is a portfolio:

a) Equally invested in stocks A & B

b) Equally invested in stocks A & C

c) Equally invested in stocks B & C

d) Totally invested in stock C

Explain your answer.

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