An analyst does research about expected return and expect standard deviation of return from investment portfolio. Two assets have the same expected return and the same expected standard deviation of returns. The correlation coefficient of returns between the two assets is expected to be +0.6. Which of the following statements best describes the standard deviation of a portfolio composed of those two assets
If the two assets are combined to form a portfolio, the expected standard deviation of that portfolio will be:（）
A. the same as the expected standard deviation of returns for each asset because the correlation coefficient of returns is positive.
B. less than the expected standard deviation of returns for each asset because the correlation coefficient of returns is less than +1.0.
C. unaffected by the portfolio weights used for each of the two assets because the assets have the same expected return and the same expected standard deviation of returns.
