Question: John is concerned about adding risk to his portfolio. He can choose between two assets, Asset A has a correlation with his existing portfolio of

John is concerned about adding risk to his portfolio. He can choose between two assets, Asset A has a correlation with his existing portfolio of 0.70 and Asset B has a correlation with his existing portfolio of 0.05. If John is only concerned about the risk of his portfolio, which asset should he add to his portfolio?

Multiple Choice

Asset B
Need the expected returns
Asset A
Neither asset since both have a positive correlation with the existing portfolio

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