Question: Assume that the average variance of return for an individual

Assume that the average variance of return for an individual security is 50% and that the average covariance is 10%. What is the expected variance of a portfolio of 5, 10, 20, 50, and 100 securities. How many securities need to be held before the risk of a portfolio is only 10% more than the minimum?

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  • CreatedApril 15, 2015
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