Based on the previous results, we can say that, as we include more
) ]& V+ P6 t/ \5 c a. _and more assets into our portfolio, the ”variance risk” can be
d- W! }/ y odiversified away, whereas the ”covariance risk” cannot.0 j; M9 m" E* k# j; p3 N& s* a
In practice, we also observe similar results. As we include more1 _; W% ?# o S1 h" w% H* S
assets in our portfolio, the portfolio return variance firstly) _2 c' }0 i/ e: J5 N
decreases, and then approach to a particular level, and will not
1 ]% k" ? g4 @0 r: m- m1 vreach zero.( k9 ~) |/ q, c
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