单选题 Which of the following statements about portfolio theory is least accurate?

A. As the correlation between two assets increases, the benefits of diversification also increase.
B. The optimal portfolio for each investor is at the point where her highest indifference curve is tangent to the efficient frontier.
C. The efficient frontier represents the set of portfolios that has the highest rate of return for every given level of risk, or the lowest risk for every level of return.

【正确答案】 A

【答案解析】As the correlation between two assets decreases, the benefits of diversification increase. Combining assets that are not perfectly correlated reduces the risk of the portfolio, as measured by standard deviation.