Use the following three statements to answer this question: 1. PAB =-0.5 indicates that if the return on security A increases by 10%, the return on security B will decrease by 5%. il. Only value of correlation less than 0 provides a possibility of diversification. iii. Covas > Covac indicates the return on security B moves more closely to the return on security A than the return on security C does. Select one: O a. only it is correct O b. only iii is correct O c. All statements are not correct. O d. i and ii are correct e. i and iii are correct