Question: Use the following three statements to answer this question: Which ones are correct? Which ones are incorrect? I. There will be benefits from diversification as

Use the following three statements to answer this question: Which ones are correct? Which ones are incorrect?

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

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

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

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

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

c) I and II are correct, III is incorrect.

d) I, II and III are incorrect.

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