[学习疑问] 求助一道官方课后习题~ 童鞋, values, invest, higher, returns

zoe_lin

求助大家一道官方教材的习题，谢谢大家！
1. Portfolio managers, who are maximizing risk-adjusted returns, will see to invest less in securities with
A lower values for nonsystematic variance
B values of nonsystematic variance equal to 0.
C higher values for nonsystematic variance

答案选C。有没有童鞋可以解释下为什么？不理解这个题目

katheee

because the ultimate goal of portfolio managing is to do diversifications...in other words, getting rid of the unsystematic risks.
and only willing to take on systematic risks
therefore, you dont want the porfolio to be higher in value because it's taking on unsystematic risks ...
i guess.... but not sure.. =D

adjani.zhang

treynor black model