holding a hedged portfolio (with shorts) is less risky than a long only portfolio in the vast majority of cases. Moreover some asset that is risky on it's own

holding a hedged portfolio (with shorts) is less risky than a long only portfolio in the vast majority of cases. Moreover some asset that is risky on it's own can decrease the risk of the entire portfolio. From a quantitative perspective, specific risk from an asset is largely irrelevant (and doesnt carry a risk premium), because it can be diversified away to 0