Answer: Zero.

The correct answer is **B (Zero)**. Combining the risk-free asset with a portfolio of risky assets can improve the risk-return trade-off, as the risk-free asset has zero correlation with the risky assets. The optimal portfolio, which includes the risk-free asset and the risky assets, will therefore also have zero correlation with the risk-free asset. This is a fundamental principle in portfolio management.

Author: LeetQuiz Editorial Team