16. Portfolio risk (S7.4) Suppose that the standard deviation of returns from a typical share is about

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16. Portfolio risk (S7.4) Suppose that the standard deviation of returns from a typical share is about 0.4 (or 40%) a year. The correlation between the returns of each pair of shares is about 0.3.

a. Calculate the variance and standard deviation of the returns on a portfolio that has equal investments in two shares, three shares, and so on, up to 10 shares.

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