问题如下图：不太理解为什么是0就抵消了？不是应该越小 分散化越好？
选项：
A. 
B. 
C. 
解释：
NO.PZ2018070201000076 问题如下 If the portfolio consisteof a risk-free asset ana risky asset ha better risk-return traoff ththe portfolio with only one asset type, what's the correlation between the risk-free asset anthe risky asset? A.−1.0. B.0.0. C.1.0. B is correct.When correlation between risk-free asset anrisky assets are zero, the return-risk tra off of the portfolio investing in risk-free assets anrisky assets is better ththonly investing in risky assets. E(Rp)=W1R1+W2R2，按照这个公式投资组合收益是无法高于风险资产的收益的，除非杠杆，但是和两个资产的相关系数无关；
老师，请问这个题目的知识点是什么？
