試題詳解

7. As the third category of investment, Professor Samuel considers mutual fund investment. If a mutual fund, which is also a portfolio p consists of N stocks {x1, .... XN}, with equal weights and heterogeneous returns {r,..,r_N). Its variance could
(A) be smaller when N is larger
(B) is a quadratic fomm of average of variances of ri to rv.
(C) converge to zero when N approaches infinite
(D) converge to the average of covariances between r_i and r_j (i≠j)when N approaches the infinite
(E) is appropriately equal to unsystematic risk when N approaches the infinite