Based on the previous results, we can say that, as we include more
% d5 e# `$ X3 {' r! h0 N+ k# Kand more assets into our portfolio, the ”variance risk” can be" [& c R" o$ }' L3 D8 C, A
diversified away, whereas the ”covariance risk” cannot.9 ?( w0 y- y5 [1 v/ o* ^# v5 ?% F
In practice, we also observe similar results. As we include more
& T2 @* G" Y6 y$ V; Cassets in our portfolio, the portfolio return variance firstly1 y1 M: O3 T) [% L
decreases, and then approach to a particular level, and will not
+ F, P! R0 C9 L7 q$ r5 A% A* {reach zero.6 [1 _# E' _/ J0 |- J7 H
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