orma a portfolio out of two risky asseta. The correlation coefficient between t A. Thero are diversification benefits: the portfolio st weighted average st hese two assets is 1. Which of the following statements is true? andard deviat tion is lower than the andard deviations of the two risky asscts. are no diversification benefits: the portfolio standard deviatiorn woi C. There are no diversification the weighted ghted average standard deviations of the two risky assets. on benefits: the portfolio standard deviation is the same a average standard deviations of the two risky assets. ersification benefits: the portfolio standard deviation is higher than t weighted average standard deviations of the two risky assets. 5. Which of the following statements is true regarding the asset allocation problem? A. The optimal risky portfolio has the smallest standard deviation. B. The optimal risky portfolio has the highest expected return. C. The optimal risky portfolio has the highest Sharpe ratio. D. All investors will put 100% of their portfolio wealth in the optimal risky ports