A Portfolio of Two Securities That Are Perfectly Positively Correlated

Multiple Choice

A portfolio of two securities that are perfectly positively correlated has

A) A standard deviation that is the weighted average of the individual securities standard deviations.
B) An expected return that is the weighted average of the individual securities expected returns.
C) No diversification benefit over holding either of the securities independently.
D) Choices b and c
E) All of the above.