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Consider a market with 100 mutually uncorrelated risky assets that all have the same identical variance o but whose Sharpe ratios S are all different,

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Consider a market with 100 mutually uncorrelated risky assets that all have the same identical variance o but whose Sharpe ratios S are all different, ranging from 0.01 to 1 according to the formula: Sk k 1000' 1 k

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