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Stress testing portfolios requires changing the asset volatilities and correlations to extreme values.

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Stress testing portfolios requires changing the asset volatilities and correlations to extreme values. Which of the following would lead to a non positive definite covariance matrix?

A.

Changing the volatilities to be greater than 100%

B.

Changing all the correlations to be unity

C.

Changing all the correlations to be zero

D.

All of the above

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