Question 9 (1 point) Saved Sarah has completed some risk & return calculations for a portfolio that contains two assets, X and Y. She found that the portfolio had zero variance but both individual assets, X and Y, had positive standard deviations. Which of the following is FALSE? The two assets' returns must have a perfectly negative correlation. The portfolio has a zero standard deviation. One of the two assets in this portfolio must be a riskless asset. The portfolio exhibits strong diversification effects. None of the above