Answer: Less than the weighted average of the assets' standard deviations.

**Explanation:** - **Option A** is incorrect because the portfolio's standard deviation can only be zero if the two assets are perfectly negatively correlated (ρ = -1) and have the same standard deviation. In this case, the correlation is zero, not -1. - **Option B** is incorrect because the portfolio's standard deviation equals the weighted average of the assets' standard deviations only when the correlation is exactly one (perfect positive correlation). Here, the correlation is zero. - **Option C** is correct because when the correlation between asset returns is less than one (including zero), the portfolio's standard deviation is less than the weighted average of the individual assets' standard deviations. This demonstrates the benefit of diversification.

Author: LeetQuiz Editorial Team