6. Which of the following is true? i) If the correlation between two assets is +1, then a portfolio combining these two assets will have a standard deviation that is greater than the weighted average of the two individual standard deviations ii) The unsystematic risk of an asset can be diversified away ii) To capture a diversification benefit, the correlation between two assets must be less than 0 iv) If the correlation between two assets is less than -1, arbitrage opportunities (reward without risk) are available a) i, ii b) ii, ii c) ii d) ii, iv