Question: Your portfolio allocates equal amounts to four stocks. All four stocks have the same mean annual return of 2 0 % and annual return standard

Your portfolio allocates equal amounts to four stocks. All four stocks have the same mean annual return of

20 %

and annual return standard deviation of

40 % .

The return correlations among all four stocks are zero. What is the smallest expected loss for your portfolio in the coming quarter with a probability of

5 %

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