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Consider an equally weighted portfolio of 50 stocks, each of which is independently distributed of the others, i.e., corr (r i , r j )

Consider an equally weighted portfolio of 50 stocks, each of which is independently distributed of the others, i.e., corr (ri, rj) = 0, for all i j. Assume also that each stock has the same total risk (sj = s for all js). What fraction of each asset's risk is diversified away by including it in this portfolio?

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