Under what circumstance would the risk of a two-asset portfolio not be reduced at all?
a) when the correlation coefficient of the two assets' returns is between 0 and +1.
b) when the correlation coefficient of the two assets' returns is -1.
c) when the correlation coefficient of the two assets' returns is greater than +1.
d) when the correlation coefficient of the two assets' returns is +1.
e) when the correlation coefficient of the two assets' returns is 0.