Q9-Suppose we form a portfolio with N correlated assets. Assume each asset has the same variance 02. Suppose each return pair has a covariance of .3o2. 1. Write down the covariance matrix for this portfolio when N = 4 and 0 = 2. Must indicate the dimension and all the entries. (5 pts.) 2. Determine the risk of this portfolio as a function of N. (10 pts.) 3. Is it possible to diversify all the risk as one adds more securities with the same characteristics. (Must show work.) (5 pts.) Q9-Suppose we form a portfolio with N correlated assets. Assume each asset has the same variance 02. Suppose each return pair has a covariance of .3o2. 1. Write down the covariance matrix for this portfolio when N = 4 and 0 = 2. Must indicate the dimension and all the entries. (5 pts.) 2. Determine the risk of this portfolio as a function of N. (10 pts.) 3. Is it possible to diversify all the risk as one adds more securities with the same characteristics. (Must show work.) (5 pts.)