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Consider the following two statements: I. When the return of your portfolio is higher than the return of the market portfolio, you earned a positive

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Consider the following two statements: I. When the return of your portfolio is higher than the return of the market portfolio, you earned a positive alpha. II. The potential diversification benefit of two assets is higher when their correlation is lower, even when the correlation is negative. a. Only statement II is correct b. Both statements are correct c. Both statements are false d. Only statement I is correct

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