The risk of an individual asset when held in a portfolio with a large number of assets depends primarily on its return covariance with other assets in the portfolio and not on its return variance.

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The risk of an individual asset, when held in a portfolio, is described by its contribution to portfolio risk, which is determined by its covariance with other assets in the portfolio. Return variance is an important factor in determining an asset's risk, but it is not the primary determinant of an asset's risk in a portfolio context.

The Risk of an Individual Asset When Held in a Portfolio