You Have a Portfolio of Two Risky Stocks That Has

Multiple Choice

You have a portfolio of two risky stocks that has no diversification benefit.The lack of any diversification benefit must be due to the fact that:

A) the returns on the two stocks move perfectly in sync with one another.
B) the returns on the two stocks move perfectly opposite of one another.
C) one security must be a risk-free security.
D) the portfolio is equally weighted between the two stocks.
E) the two stocks are completely unrelated to one another.