I read from various sources (eg. Exotic Options and Hybrids, M. Bouzoubaa) that the correlation sensitivity of Rainbow options (say a call price on a basket made of 50% of the best stock, 20% of the worst, 30% of the 3rd one) is uncertain due to 2 opposite effects:
Increasing correlation would increase the overall basket volatility, thus tends to push the option price higher
Increasing correlation would decrease the Forward price, thus tends to push the option price lower
I do not understand the reason for the 2nd point - how come an increase in correlation decreases the Forward price?