Based on the previous results, we can say that, as we include more, z2 M7 m" |8 U6 |9 q
and more assets into our portfolio, the ”variance risk” can be
0 c3 `0 o3 F+ x) I9 m6 L( e/ Gdiversified away, whereas the ”covariance risk” cannot.% Q5 F* X: e0 q. B' l7 d
In practice, we also observe similar results. As we include more
; t ~, R7 z6 |assets in our portfolio, the portfolio return variance firstly) I5 ?7 k* Y# f4 P7 J
decreases, and then approach to a particular level, and will not9 y$ U# j8 |+ p. P0 K
reach zero.; ^2 X/ n, ]6 r1 E7 M7 i; W
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