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(B) The correlation coefficient between the returns on two stocks with different volatility equals minus one. For an equally weighted portfolio of such stocks, the

(B) The correlation coefficient between the returns on two stocks with different volatility equals minus one. For an equally weighted portfolio of such stocks, the correlation has the implication that: (1) 1. The portfolio variance must equal zero. 2. The expected risk premium of the portfolio must equal zero. 3. The portfolio has only unsystematic risk. 4. None of the above.

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