Which of the following statements correctly describe aspects of the diversification benefit associated with combining two assets into a portfolio?

a.Holding all else constant, as the correlation coefficient between the returns of the two assets increases, the risk of the portfolio will be reduced.

b.More than one of the other statements is correct.

c.In order to achieve any diversification benefit, the returns of the two assets must be less than perfectly positively correlated.

d.When the returns of the two assets are perfectly positively correlated, a zero-risk portfolio can be formed.