Question: Use the following three statements to answer this question: I. There will be benefits from diversification as long as p AB < +1. II. As

Use the following three statements to answer this question:

I. There will be benefits from diversification as long as pAB < +1.

II. As long as pAB = -1, an equally weighted portfolio would be risk-free.

III. Diversification can never eliminate the total risk of the portfolio.

I is correct, II is incorrect, III is correct.

I and II are correct, III is incorrect.

I, II and II are incorrect.

I is incorrect, II is correct, III is correct.

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