Suppose your universe of risky assets consists of an infinite number of assets. They all have a return standard deviation of 23,5 per cent, and a correlation with any other asset of 0,5. You invest in equal amounts in a very large portfolio. What limit will the standard deviation (in per cent scale) of your total portfolio approach, as the number of assets in your portfolio, N, approaches infinity?

• a. 16,617
• b. 11,755
• c. 23,500