单选题 Which of the following statements about portfolio risk is true?

A. In the absence of perfectly positive correlation, a portfolio will always have lower risk than the average risk of the component assets.
B. In the absence of perfectly positive correlation, a portfolio will always have lower risk than the risk of each of the component assets.
C. In the absence of perfectly negative correlation, a portfolio will always have lower risk than the average risk of the component assets.

【正确答案】 A

【答案解析】The portfolio will have lower risk than the average of the individual risks. There can be assets in the portfolio that have lower risk than the portfolio. The only exception is when assets are perfectly positively correlated. Then the portfolio risk is equal to the average risk of the components.