怎么判断这题考的是相关系数

NO.PZ2015121801000068

问题如下：

An analyst has made the following return projections for each of three possible outcomes with an equal likelihood of occurrence:

If the analyst constructs two-asset portfolios that are equally weighted, which pair of assets provides the least amount of risk reduction?

选项：

Asset 1 and Asset 2.

Asset 1 and Asset 3.

Asset 2 and Asset 3.

解释：

A is correct.

An equally weighted portfolio of Asset 1 and Asset 2 has the highest level of volatility of the three pairs. All three pairs have the same expected return; however, the portfolio of Asset 1 and Asset 2 provides the least amount of risk reduction.

请问老师，怎么判断这题考的是相关系数，以及题目里说two-asset portfolios that are equally weighted这个条件有什么用？看到题干里有权重信息，一开始还以为要算的是两两资产做组合的方差的公式

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