In investing, it is generally believed that the greater the risk, the greater the reward. If the

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Question:

In investing, it is generally believed that "the greater the risk, the greater the reward." If the potential for risk reduction in a portfolio is greatest when assets with low correlation to each other are selected, does it also follow that in a highly diversified portfolio, the return will be lower because the risk has been reduced?

Explain your position using portfolio management concepts such as correlation, risk (systematic and specific) and diversification.