单选题 The correlation between rates of return for stock X and stock Y is 1.0. X and Y have standard deviations of 22% and 34% , respectively. Which of the following portfolios has the lowest risk?

A. 90%X, 10%Y.
B. 50% X, 50% Y.
C. 10% X, 90% Y.

【正确答案】 A

【答案解析】If rates of return are perfectly positively correlated, the risk of the portfolio is a weighted average of the risk of the individual securities. Hence, the portfolio with the greatest amount of the low risk asset(X) is least risky.