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In class, we used the formula for portfolio risk to derive the simplified formula for G equal weight, uncorrelated positions with identical risk. What is
In class, we used the formula for portfolio risk to derive the simplified formula for G equal weight, uncorrelated positions with identical risk.
What is the comparable formula assuming G equal weight positions with identical risk and identical correlations across each pair of different assets?
?g,h = 1 for g=h
?g,h = ? for g?h
Consider what happens as the number of positions becomes infinite.
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