单选题 Portfolio managers at Goodwin & Associates believe they can significantly alter the risk/return profile of their risky portfolios by allocating a portion of available funds to the risk-free asset. Which of the following statements correctly assesses the effect of combining the risk-free asset with a risky portfolio? Adding the risk-free asset will:

A、 decrease portfolio standard deviation due to its positive correlation with risky assets.
B、 decrease portfolio standard deviation because it is uncorrelated with risky assets.
C、 decrease portfolio standard deviation due to its negative correlation with risky assets.

【正确答案】 B

【答案解析】Return of risk-free asset is certain, so standard deviation will be zero, therefore, covariance and correlation with other assets will also be CFO. Therefore, adding the risk-free, asset to a risky portfolio will decrease the portfolio standard deviator.