Assuming that none of your risk is uncorrelated - which is not as true as people wish or hope. E.g. if you buy a huge number of San Francisco you are now very

Assuming that none of your risk is uncorrelated - which is not as true as people wish or hope. E.g. if you buy a huge number of San Francisco you are now very exposed to large earthquakes, or the house price in SF falling due to a tech bubble