NO.PZ2015121801000068
问题如下：
An analyst has made the following return projections for each of three possible outcomes with an equal likelihood of occurrence:
If the analyst constructs two-asset portfolios that are equally weighted, which pair of assets provides the least amount of risk reduction?
选项：
A.Asset 1 and Asset 2.
B.Asset 1 and Asset 3.
C.Asset 2 and Asset 3.
解释：
A is correct.
An equally weighted portfolio of Asset 1 and Asset 2 has the highest level of volatility of the three pairs. All three pairs have the same expected return; however, the portfolio of Asset 1 and Asset 2 provides the least amount of risk reduction.
请问老师，这道题判断的时候，是用的The portfolio of many risky assets那个公式吗？为什么选A不选C呢，C选项的标准差绝对值最大呀
