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You hold a portfolio of 50 small-cap exploration and production stocks, historically the volatility of the returns of all small-cap exploration and production firms is
You hold a portfolio of 50 small-cap exploration and production stocks, historically the volatility of the returns of all small-cap exploration and production firms is 72% and the correlation between any pair of these stocks is 0.79. You decide to construct a new portfolio with only 15 of these shares and invest an equal amount in all fifteen shares, what is the volatility of the new portfolio? 65.6% 64.6% 87.9% 41.7%
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