Which of the following statements is true?

a.

The amount of risk reduction that can be achieved by adding a new security to an existing portfolio increases as the correlation between the expected returns of the new security and the expected returns on the existing portfolio increases.

b.

Adding a riskless security to a portfolio will increase its overall risk.

c.

Two assets that are perfectly negatively correlated can produce a portfolio with zero variance.

d.

Adding an asset to a portfolio by random selection will reduce the risk of a portfolio.