Assume a universe of n (large) securities for which the largest residual variance is not larger than

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Assume a universe of n (large) securities for which the largest residual variance is not larger than n σM 2

. Construct as many different weighting schemes as you can that generate welldiversified portfolios.

 P-69

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ISE Investments

ISBN: 9781266085963

13th International Edition

Authors: Zvi Bodie, Alex Kane, Alan Marcus

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