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A portfolio consists of 20 stocks, 15 of which have beta 1 and idiosyncratic variance 0.03, and 5 of which have beta 1 and idiosyncratic

A portfolio consists of 20 stocks, 15 of which have beta 1 and idiosyncratic variance 0.03, and 5 of which have beta 1 and idiosyncratic variance 0.05. What is the minimum idiosyncratic variance one can achieve by investing in these stocks? You should assume that the idiosyncratic risks of the stocks are independent across stocks.

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