单选题 Which of the following about correlation of two assets is TURE?
  • A. The smaller correlation implies smaller risk reduction potential.
  • B. The smaller correlation implies greater risk reduction potential.
  • C. The larger correlation implies smaller risk reduction potential.
【正确答案】 B
【答案解析】Perfect positive correlation (r=+1) of the returns of two assets offers no risk reduction, whereas perfect negative correlation (r=-1) offers the greatest risk reduction.