Consider an equally weighted portfolio of stocks in which each stock has a volatility of 40%, and
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Consider an equally weighted portfolio of stocks in which each stock has a volatility of 40%, and the correlation between each pair of stocks is 27%.
a. What is the volatility of the portfolio as the number of stocks becomes arbitrarily large?
b. What is the average correlation of each stock with this large portfolio?
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Related Book For
Corporate Finance The Core
ISBN: 9781292158334
4th Global Edition
Authors: Jonathan Berk, Peter DeMarzo
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