2 added 82 characters in body edited Sep 30 '13 at 13:08 vanguard2k 2,27411 gold badge1111 silver badges2727 bronze badges I figure the answer is hidden in the definition of "marginal contribution to risk". I try to use the notation of the paper you linked. Marginal contribution to risk is defined as: $$M_i = 2C_{ip}$$ with $$C_{ip}$$ being the covariance between asset $$i$$ and the portfolio $$p$$. One can now argue that, since this covariance also depends on the other assets $$j\neq i$$, the value $$M_i$$ is implicitly connected to the other assets via the correlation structure. On the other hand if all assets are uncorrelated, we have that $$C_{ip}=C_{ii}w_i$$, since $$C_{ij}=0$$ for $$j\neq i$$. Thus, the marginal contributions do not depend on the other assets. Therefore one can speak of a more "pure" contribution to variance in this case. Finally, if the asset returns are independent, they are also uncorrelated. I figure the answer is hidden in the definition of "marginal contribution to risk". I try to use the notation of the paper you linked. Marginal contribution to risk is defined as: $$M_i = 2C_{ip}$$ with $$C_{ip}$$ being the covariance between asset $$i$$ and the portfolio $$p$$. One can now argue that, since this covariance also depends on the other assets $$j\neq i$$, the value $$M_i$$ is implicitly connected to the other assets via the correlation structure. On the other hand if all assets are uncorrelated, we have that $$C_{ip}=C_{ii}w_i$$, since $$C_{ij}=0$$ for $$j\neq i$$. Thus, the marginal contributions do not depend on the other assets. Therefore one can speak of a more "pure" contribution to variance in this case. I figure the answer is hidden in the definition of "marginal contribution to risk". I try to use the notation of the paper you linked. Marginal contribution to risk is defined as: $$M_i = 2C_{ip}$$ with $$C_{ip}$$ being the covariance between asset $$i$$ and the portfolio $$p$$. One can now argue that, since this covariance also depends on the other assets $$j\neq i$$, the value $$M_i$$ is implicitly connected to the other assets via the correlation structure. On the other hand if all assets are uncorrelated, we have that $$C_{ip}=C_{ii}w_i$$, since $$C_{ij}=0$$ for $$j\neq i$$. Thus, the marginal contributions do not depend on the other assets. Therefore one can speak of a more "pure" contribution to variance in this case. Finally, if the asset returns are independent, they are also uncorrelated. 1 answered Sep 30 '13 at 11:48 vanguard2k 2,27411 gold badge1111 silver badges2727 bronze badges I figure the answer is hidden in the definition of "marginal contribution to risk". I try to use the notation of the paper you linked. Marginal contribution to risk is defined as: $$M_i = 2C_{ip}$$ with $$C_{ip}$$ being the covariance between asset $$i$$ and the portfolio $$p$$. One can now argue that, since this covariance also depends on the other assets $$j\neq i$$, the value $$M_i$$ is implicitly connected to the other assets via the correlation structure. On the other hand if all assets are uncorrelated, we have that $$C_{ip}=C_{ii}w_i$$, since $$C_{ij}=0$$ for $$j\neq i$$. Thus, the marginal contributions do not depend on the other assets. Therefore one can speak of a more "pure" contribution to variance in this case.