Identify the incorrect statements with respect to portfolio diversification. I. When building a portfolio, avoid including assets that exhibit a high negative correlation. II. A portfolios volatility is influenced by the volatility of returns on each individual investment. III. A correlation of returns of +1 between assets will offer the best possibility of diversification in the portfolio.

Select one:

a.

I and III, only

b.

I and II, only

c.

II and III, only

d.

I, II and III