问题如下：
As the market decline, the correlation between assets in a two-asset portfolio increase. If the assets weighting and the expected standard deviation of individual assets do not change. Which of the following options is most correct about the volatility of a portfolio?
选项：
A. the volatility of the portfolio will increase.
B. the volatility of the portfolio will decrease.
C. the volatility of the portfolio will remain the same.
解释：
A is correct.
If the weighting and standard deviation of the portfolio remain unchanged, higher correlation will result in smaller diversification benefits.
这个考的什么知识点… 完全不知道