In the context of Modern Portfolio Theory (MPT), investors are concerned with constructing portfolios that maximize expected return for a given level of risk. Consider the following scenario:
Investor A is creating a portfolio that includes two risky assets, Asset X and Asset Y. The expected returns of the assets are 10% and 15%, respectively, with standard deviations of 20% and 30%. The correlation coefficient between the returns of Asset X and Asset Y is 0.4. Which of the following statements correctly captures the implications of MPT concerning the relationship between the assets in Investor A's portfolio?