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Q3. The average variance of a set of assets is 0.03. The average covariance of the set of assets 0.04. a. What should the portfolio

Q3. The average variance of a set of assets is 0.03. The average covariance of the set of assets 0.04.

a. What should the portfolio standard deviation approach as the number of assets invested in gets large (infinitely large)?

b. Briefly explain: Why doesnt the portfolio standard deviation approach 0?

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