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Suppose that the average stock has a volatility of 50%, and that the correlation between pairs of stocks is 20%. Estimate the volatility of an
Suppose that the average stock has a volatility of 50%, and that the correlation between pairs of stocks is 20%. Estimate the volatility of an equally weighted portfolio with 30 stocks.
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Options Futures and Other Derivatives
Authors: John C. Hull
10th edition
013447208X, 978-0134472089
