Which of the following portfolios would be impossible to achieve? (For the purposes of this question, assume that it IS possible for two shares to have a correlation of +1 and for two shares to have a correlation of -1.)

Select one:

a. A portfolio of four shares, where the correlation between each pair of shares is between 0 and +1.

b. A portfolio of three shares, where the correlation between each pair of shares is equal to -1.

c. A portfolio of three shares, where the correlation between each pair of shares is equal to +1.

d. A portfolio of three shares, where the correlation between each pair of shares is equal to 0.