4. A n investor forms a portfolio out of two risky assets. The correlation between these two assets is 1. Which of the following statements A. There are diversificati weighted B. There are no coefficient is on benefits: the portfolio standard deviation is lower than the average standard deviations of the two risky assets. versification benefits: the portfolio standard deviation is higher average standard deviations of the two riky assets fication benefits: the portfolio standard deviation is the same a f the two risky assets. the weighted average standard deviations o D. There are diversification cation benefits: the portfolio standard deviation is higher than t weighted average standard deviations of the two risky asses. A. The optimal risky portfolio has the smallest standard deviation. B. The optimal risky portfolio has the highest expected return. 5. Wh ich of the following statements is true regarding the asset allocation problem The optimal risky portfolio has the highest Sharpe ratio. D. All investors will put 100% of their portfolio wealth in the optimal risky por