You have constructed a portfolio with expected return of $12\mathrm{.}1\%$ and expected volatility $($i$.$e$.$

standard deviation of returns$)$ of $18\mathrm{.}4\%.$ You are considering adding a new position to the

portfolio and have calculated the correlation coefficients between you current portfolio and

the potential new investments. The correlations are as follows:

Asset A: $0\mathrm{.}89$

Asset B: $0\mathrm{.}21$

Asset C: $0\mathrm{.}0$

Asset D: $-\mathrm{.}32$

Asset E: $1\mathrm{.}0$

Which asset will provide the greatest diversification benefit? That is$,$ which asset is most likely

to improve the risk$/$return profile of the portfolio?

Asset A

Asset B

Asset C

Asset D

Asset E