问题如下:
Which of the following descriptions of correlation is least accurate?
选项:
A.If correlation coefficient is less than 1, diversification can reduce risk
B.A zero variance portfolio can be constructed when the correlation coefficient is zero.
C.The potential benefit of diversification is increased with the decrease of correlation coefficient.
解释:
B is correct.
A zero variance portfolio can only be constructed when the correlation coefficient is -1.
B正确的原因是?