Assume a universe of n (large) securities for which the largest residual variance is of an order

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Assume a universe of n (large) securities for which the largest residual variance is of an order not larger than nsM 2 . Construct as many different weighting schemes as you can that generate well-diversified portfolios.

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Investments

ISBN: 9780073530703

9th Edition

Authors: Zvi Bodie, Alex Kane, Alan Marcus

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