Consider an equally weighted portfolio of stocks in which each stock has a volatility of 50%, and
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Consider an equally weighted portfolio of stocks in which each stock has a volatility of 50%, and the correlation between each pair of stocks is 24%.
a. What is the volatility of the portfolio as the number of stocks becomes arbitrarily large?
b. What is the average correlation of each stock with this large portfolio?
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Corporate Finance The Core
ISBN: 9781292431611
5th Global Edition
Authors: Jonathan Berk, Peter DeMarzo
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