Stocks A, B & C have the same expected return and standard deviation. The correlations between the returns of these stocks are shown in the table below.

Given these correlations, the portfolio constructed from these stocks having the lowest risk is a portfolio:

a) Equally invested in stocks A & B

b) Equally invested in stocks A & C

c) Equally invested in stocks B & C

d) Totally invested in stock C

Explain your answer.