单选题 An investor currently holds a portfolio that is expected to return 15 percent. The investor is planning to sell one of the securities included in the current portfolio that has an expected return of 13 percent and use the proceeds to purchase a security that has an expected return of 14 percent. Compared to the investor's current portfolio, the expected return for the investor's revised portfolio will be:

A. above 15 percent whether or not any change occurs in the standard deviation of the portfolio
B. below 15 percent whether or not any change occurs in the standard deviation of the portfolio
C. above 15 percent only if the covariance of the new security is lower than the covariance of the security that was sold.

【正确答案】 A

【答案解析】Change 13% to 14% and the weight in the portfolio is the same, which will result in average return above original 15 % regardless the standard deviation and correlation coefficient.