As the number of assetsin an equally–weighted portfolio increases, the contribution of each individualasset's variance to the volatility of the portfolio:

    Increases.

    Decreases.

    Remains the same.

 

Correctanswer: B

The contribution of eachindividual asset's variance (or standard deviation) to the portfolio'svolatility decreases as the number of assets in the equally weighted portfolioincreases. The contribution of the co–movement measures between the assetsincreases (i.e., covariance and correlation) as the number of assets in theequally weighted portfolio increases. The following equation for the varianceof an equally weighted portfolio illustrates these points:

 

【解析】

两个资产做组合：


三个资产做组合：



随着资产的数量（n）↑，两两之间的协方差对组合方差的影响越来越大，∵n(n-1)比n大，∴每个资产的方差对组合的方差影响越来越小。

来自：Finance365CFA