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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.

image text in transcribedimage text in transcribed

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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