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2. As the number of assets, n, in a portfolio gets large the contribution to the portfolio variance of the individual asset variances approaches zero
2. As the number of assets, n, in a portfolio gets large the contribution to the portfolio variance of the individual asset variances approaches zero but the contribution of the asset covariance terms approaches the average covariance, i.e. the individual risk of assets can be diversified away but the risk caused by asset covariance cannot. Explain this statement in order to demonstrate how the relationship between assets in a portfolio affects the portfolio risk.
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