单选题 All else equal, as the correlation of returns among a set of securities decrease, will a portfolio composed of those securities most likely experience an increase in expected: Return ? Risk ? ①A. Yes No ②B. Yes Yes ③C. No No A. ①B. ②C. ③

【正确答案】 C

【答案解析】Holding other factors constants, the lower the correlation of returns the diversification benefit. The standards deviation (risk) of the portfolio will decrease as correlations decrease ; the expected return remains the same.