When assets are perfectly correlated, then expression II is correct. This is because the Value at Risk (VaR) of a portfolio is calculated using the formula: $\text{VaR}_p = \sqrt{(\text{VaR}_1^2 + \text{VaR}_2^2 + 2 * \rho * \text{VaR}_1 * \text{VaR}_2)}$. In this formula, $\rho$ represents the correlation between the two assets. When the assets are perfectly correlated, $\rho$ equals 1. Substituting $\rho = 1$ into the formula gives us $\text{VaR}_p = \text{VaR}_1 + \text{VaR}_2$, which is expression II. Therefore, when the assets in a portfolio are perfectly correlated, the VaR of the portfolio is equal to the sum of the VaRs of the individual assets.

Choice A is incorrect. When assets are perfectly correlated, expression I is not correct. In fact, when the correlation between two assets is perfect (either +1 or -1), the VaR of the portfolio equals to the sum of individual VaRs, which aligns with expression II and not I.

Choice C is incorrect. As explained above, only one of these statements (expression II) holds true when assets are perfectly correlated. Therefore, it's not accurate to say that all of the above statements are correct.

Choice D is incorrect. This choice suggests that none of the provided options accurately reflect the relationship between these expressions and asset correlation in a portfolio. However, as we've established in Choice B explanation, when assets are perfectly correlated then expression II does hold true.

Things to Remember

• Value at Risk (VaR) is a measure used to assess the potential loss in value of a portfolio over a specific time period and with a certain level of confidence.
• Correlation between assets in a portfolio plays a crucial role in determining the overall risk and diversification benefits of the portfolio.
• Perfect correlation (correlation coefficient of +1) between assets implies that they move in the same direction all the time, while perfect negative correlation (correlation coefficient of -1) implies that they move in opposite directions.