Assuming that the expected return on an average security is 13 per cent with a standard deviation of 26 per cent, and the average covariance of returns between securities is +100, determine the expected risk of a portfolio with 28 securities and a portfolio with 1,000 securities. Comment briefly on your results. (20 marks)

Below, you are given the expected returns and standard deviations of L’Oréal and Daimler AG, the Euro Stoxx 50 Index of largest Eurozone firms, and the risk-free asset.
Asset Expected Return (%) Standard Deviation (%)
L’Oréal 16 30 Daimler 12 25 Euro Stoxx 50 13 12 Risk-free asset 3 0