If the distribution of returns for an asset has a variance of zero, then covariance of returns between that asset and the returns any other asset must equal zero.

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Quizplus · Accepted Answer

If the variance of an asset's returns is zero, it means that the asset's returns are constant and do not vary. In such a case, the covariance of returns between that asset and any other asset must also be zero because there is no variability in the returns of the first asset for there to be a relationship with the returns of the second asset. Therefore, the statement is true.

If the Distribution of Returns for an Asset Has a Variance