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Suppose the data of a stock market are as follows: Average stock volatility 45% Average correlation b/w pairs of stocks 50% Estimate the volatility of
Suppose the data of a stock market are as follows: | ||
Average stock volatility | 45% | |
Average correlation b/w pairs of stocks | 50% | |
Estimate the volatility of an equally-weighted portfolio with N stocks for the following case | ||
N | Volatility | |
1 | ||
50 | ||
100 | ||
250 | ||
500 | ||
1000 | ||
2000 | ||
3000 |
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