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You currently hold a portfolio of three stocks, Delta, Gamma, and Omega. Delta has a volatility of 36%, Gamma has a volatility of 55%, and

You currently hold a portfolio of three stocks, Delta, Gamma, and Omega. Delta has a volatility of 36%, Gamma has a volatility of 55%, and Omega has a volatility of 52%. Suppose you invest 70% of your money in Delta, and 15% each in Gamma and Omega.

a. What is the highest possible volatility of your portfolio?

b. If your portfolio has the volatility in (a), what can you conclude about the correlation between Delta and Omega?

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