Question: Now you construct your portfolio by determining the optimal weight of each asset. For each period, calculate the standard deviation of 10 alphas you

Now you construct your portfolio by determining the optimal weight of each

Now you construct your portfolio by determining the optimal weight of each asset. For each period, calculate the standard deviation of 10 alphas you have computed. For example, Jan 1, 2001, you have 10 alpha points for 10 markets. You calculate the standard deviation of these 10 alphas.

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