Which of the following statements are FALSE?

I.

II. III.

IV.

a. b. c. d.

Two assets whose returns move in the opposite directions and have a correlation coefficient of -1 are both either risk-free assets or low-risk assets. In no case will creating portfolios of assets result in greater risk than that of the riskiest asset included in the portfolio.

Combining uncorrelated assets can reduce risk not as effectively as combining negatively correlated assets, but more effectively than combining positively correlated assets. Combining two assets having perfectly positively correlated returns will result in the creation of a portfolio with an overall risk that increases to a level above that of either asset.

IandIVonly IIandIIIonly I, III and IV only I,II,IIIandIV