Use the following three statements to answer this question: I. PAB=0.7 indicates that if the return on security A increases by 10%, the return on security B will increase by 7%. ii. Any value of correlation less than +1 provides a possibility of diversification iii. COVAB > Covac indicates the return on security B moves more closely to the return on security A than the return on security C does. Select one: O a. only ili is correct O b. i and ii are correct O c. only ii is correct O d. i and ii are correct O e. ii and i are correct