An investor is holding a portfolio of common stocks of U.S. companies only. His current portfolio has an expected return of 9.0% and a standard deviation of returns of 25%. The investor is considering allocating about 20% of the portfolio to international common stocks from developing countries in Eastern Europe, Africa, and Southeast Asia. She is concerned, however, that the standard deviation of returns on these international stocks are significantly higher than the 25% standard deviation for her portfolio. Which of the following statements is true for this situation?

a. Adding these international stocks from developing countries would not be attractive because the standard deviation of her portfolio would likely increase significantly.

b. Adding these international stocks would only be attractive if the correlation coefficients between these stocks and the US stocks is sufficiently high to maintain the 9.0% expected return for her portfolio

c. Adding these international stocks could be attractive because stocks from developing countries often have greater upside for future returns and, while the returns are more volatile, the lower correlation coefficients between these stocks and US stocks offers diversification benefits that may result in standard deviation of returns that is about the same (or even lower) for the overall portfolio but with higher expected returns.

d. The U.S. Securities and Exchange Commission warns U.S. investors to not consider these high-risk investments because of the extreme risk involved.

e. None of the above is true