NO.PZ2023021601000008
问题如下：
With respect to an equally-weighted portfolio made up of a large number of assets, which of the following contributes the most to the volatility of the portfolio?
选项：
A.Average variance of the individual assets. B.Standard deviation of the individual assets. C.Average covariance between all pairs of assets.解释：
The co-movement measures between the assets increases (i.e., covariance and correlation) as the number of assets in the equally weighted portfolio increases. The contribution of each individual asset’s variance (or standard deviation) to the portfolio’s volatility decreases as the number of assets in the equally weighted portfolio increases. The following equation for the variance of an equally weighted portfolio illustrates these points:
The contribution of each individual asset’s variance (or standard deviation) to the portfolio’s volatility decreases as the number of assets in the equally weighted portfolio increases.
