Use the following three statements to answer this question:

(I) There will be benefits from diversification as long as AB <+1.

(II) As long as AB = -1, an equally weighted portfolio would be risk-free.

(III) Diversification can never eliminate the total risk of the portfolio.

Choices are below:

a) I is correct, II is incorrect, III is correct

b) I is incorrect, II is correct, III is correct

c) I and II are correct, III is incorrect

d) I, II and III are incorrect