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Assume that Rm is the return of an index that has an annual volatility (sigma) of 25% and has no autocorrelation. Calculate the volatilities (standard

Assume that Rm is the return of an index that has an annual volatility (sigma) of 25% and has no autocorrelation. Calculate the volatilities (standard deviation of returns) of: a) a portfolio that leverages the index 1.4 to 1 b) a portfolio with a 60% portfolio weight in the index and the remainder in cash c) the index's three-month return volatility

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