The correlation between assets in a two asset portfolio increases during a market decline. If there is no change in the proportion of each asset held in the portfolio or in the standard deviation of each individual assets, what would happen to the volatility of the portfolio?
A. The volatility of the portfolio would most likely increase.
B. The volatility of the portfolio would most likely decrease.
C. The volatility of the portfolio would most likely remain the same.
D. The volatility of the portfolio would become zero.
E. We need to have information about the two assets' expected returns in order to answer this question.