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Exercise Given a portfolio with only 2 assets, assets 1 & 2 , with a 5 0 / 5 0 weighting in the portfolio, and
Exercise
Given a portfolio with only assets, assets & with
a weighting in the portfolio, and with the
following expected return and standard deviation :
Calculate the covariances and the standard deviation
of the portfolio under the following different
correlation relationships:
How does the correlation affect the standard deviation
of the portfolio?
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