Consider two risky securities, A and B. They have expected returns E[Ra], E[Rb], standard deviations A, B. The standard deviation of As returns are lower than those of B (i.e. A < B and both assets are positively correlated (A,B > 0). Consider a portfolio comprised of positive weight in both A and B and circle all of the true statements below (there may be multiple true statements).

(a) The expected return of this portfolio cannot exceed the average of E[Ra] and E[Rb].

(b) The variance of the portfolio may be greater than A.

(c) There are only gains from diversification if A,B 6= 1.

(d) With the proper weights, a portfolio of zero variance can be formed