Which of the following statements is CORRECT? Select one: a. The correlation of the returns of asset A with the returns of asset B is the same as the correlation of the returns of asset B with the returns of asset A. b. An increase in the correlation coefficient leads to a decrease in the loan portfolio risk. c. The covariance of returns between assets i and j decreases when the correlation between the returns of assets i and increases. d. None of the other statements is correct