Asset C offers an expected rate of return of 10% with a standard deviation of 25%. Asset D offers an expected rate of return of 5% with a standard deviation of 30%. Assume that the risk-free interest rate is zero.

(a) Given that risk and return data of the two assets, would anyone choose to hold Asset D? Explain your answer graphically. [Tips: Can provide verbal support to the graph, if necessary, in no more than two lines.]

(b) Show with calculations that there is NO diversification benefit resulting from forming the portfolio. [Tips: "Portfolio Risk Changes with Correlation and recall the implications of linear and curvy efficient frontiers under different correlation assumptions.]