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2. A portfolio has two risky assets. Assume that short-sell is not allowed. Prove that when Pab increases, the diversification benefit will decrease. Asset Asset
2. A portfolio has two risky assets. Assume that short-sell is not allowed. Prove that when Pab increases, the diversification benefit will decrease. Asset Asset a Asset b E(R) Era) Ero) Sigma Ob Correlation coefficient: Pab
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