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You invest one-third of your wealth in each of three stocks. The expected return and standard deviation of each individual stock is 10% and 20%,

You invest one-third of your wealth in each of three stocks. The expected return and standard deviation of each individual stock is 10% and 20%, respectively. Furthermore, each stock has a return correlation of 0.50 with the two other stocks. What is the risk reduction of investing in the portfolio of three stocks relative to investing in only one stock?

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