问题
单项选择题
An analyst does research about correlation. In a portfolio of two risky securities, the portfolio risk is maximized when the two securities are.（）
A. uncorrelated.
B. perfectly positively correlated.
C. perfectly negatively correlated.
答案
参考答案：B
解析：
当投资组合中的两项资产的相关系数为1时，是完全正相关，此时风险最大。