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9. Suppose that there exists a market with 100,000 securities, each of which having a variance of returns equal to .09. The return covariance of
9. Suppose that there exists a market with 100,000 securities, each of which having a variance of returns equal to .09. The return covariance of each security with every other security is .03 and the market portfolio is equally weighted; that is, the same amount of money is invested in each security. What is the standard deviation of returns on the market portfolio? Give a numerical solution accurate to within .001.
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