单选题 The return on an asset added to a portfolio is less than perfectly positively correlated with the returns of the other assets in the portfolio but has the same standard deviation. What effect will adding the new asset have on the standard deviation of the portfolio's return? The standard deviation:
  • A. will decrease.
  • B. will increase.
  • C. may increase or decrease depending on the individual securities mix in the portfolio.
【正确答案】 A
【答案解析】The key to this question is the statement that the standard deviations of A and B are equal. Recall the general expression for the standard deviation of a two-asset portfolio: [*] You only have to worry about ρ1,2; since it is less than +1 the portfolio o- will fall. You can think of the portfolio as risky asset 1 and the added asset as asset 2.