Which one of the following statements about portfolio diversification and negatively correlated assets is true?
a. Adding a negatively correlated asset has no effect on portfolio volatility.
b. Adding any amount of a negatively correlated asset to a portfolio will reduce the volatility of portfolio returns.
c. Adding a negatively correlated asset will initially reduce volatility of portfolio returns.
d. It is impossible to find assets that are negatively correlated with most portfolios.