Based on the previous results, we can say that, as we include more
; m: r* K1 L# l+ t/ O# {and more assets into our portfolio, the ”variance risk” can be2 w# H- {, X9 {* s8 Z
diversified away, whereas the ”covariance risk” cannot.! L0 g: ?% e. `5 D
In practice, we also observe similar results. As we include more
/ K. C! }# d. e) M3 E! r: B6 Xassets in our portfolio, the portfolio return variance firstly
~; b: k4 E( l, T1 @8 S7 ?decreases, and then approach to a particular level, and will not
. z, S" S7 q: K+ creach zero.- y8 O+ }) i% z/ b3 G$ {
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