Yes correct. Nothing to do with probability. The puzzle is that at the limit the price never changes. So how can any profit or loss be made.But I googled the concept. I don't see any probability in the OP's setup.
(Smacks head). Yes, that is exactly it.It's just a portfolio of options: buy N single name puts on the individual assets. By the "law of one price", that would be the cost for what you want.