The opportunity set between two assets will be a curve rather than a straight line when the correlation is between -1 and 1.

Question

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When the correlation between two assets is between -1 and 1, the opportunity set will be a curve rather than a straight line. This curve is known as an efficient frontier, and it represents the set of portfolios with the highest possible return for a given level of risk.

The Opportunity Set Between Two Assets Will Be a Curve