Question: When considering portfolio risk reduction by diversification the most risk reduction can be achieved when returns on assets in the portfolio have zero correlation the

When considering portfolio risk reduction by diversification

the most risk reduction can be achieved when returns on assets in the portfolio have zero correlation

the most risk reduction can be achieved when returns on assets in the portfolio are highly positively correlated.

the most risk reduction can be achieved when correlations between asset returns are at least 2.

the most risk reduction can be achieved when returns on assets in the portfolio are highly negatively correlated.

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