Despite the fact that individual security returns are weakly negatively autocorrelated, portfolio returns - which are essentially averages of individual security returns - are strongly positively autocorrelated. What does this somewhat paradoxical result mean?

Question 9Select one:

a.

Large negative cross-autocorrelations across portfolios across time

b.

Large positive cross-autocorrelations across individual securities across time

c.

Large positive cross-autocorrelations across portfolios across time

d.

Large negative cross-autocorrelations across individual securities across time

e.

This result cannot be explained meaningfully by using autocorrelations