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Suppose you hold an equally weighted portfolio with N assets. Assume all assets have the same standard deviation and all assets are equally correlated with
Suppose you hold an equally weighted portfolio with N assets. Assume all assets have the same standard deviation and all assets are equally correlated with each other with correlation coeffi- cient p. (a) [3 points] Mathematically prove: portfolio variance 08-0 (1-10) = + N (b) [2 points] Mathematically prove: as N , lim op = po N
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