根据公式ρ表小，收益率σ不也变小吗，那风险不是上升吗？

问题如下：

A portfolio contains equal weights of two securities having the same standard deviation. If the correlation between the returns of the two securities was to decrease, the portfolio risk would most likely: (mock)

选项：

A.remain the same. B.increase. C.decrease.

解释：

The formula for the return standard deviation (risk) of a two asset portfolio is

The formula for portfolio risk shows that portfolio risk decreases as the correlation decreases.