Which one of the following statements is correct? Unless assets are negatively correlated, combining assets into a portfolio will not reduce risk. The Y-axis intercept of the SML represents the required return of a portfolio with a beta of zero, or the risk-free rate. If any two assets are perfectly negatively correlated, an equal weighted portfolio of these two assets will result in a portfolio return of zero. Even if the correlation between the returns on two securities is +1.0, if the securities are combined in the correct proportion, the resulting two-asset portfolio will have less risk than either security held alone