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Your portfolio allocates equal amounts to three stocks. All three stocks have the same mean annual return of 15 percent. Annual return standard deviations for

Your portfolio allocates equal amounts to three stocks. All three stocks have the same mean annual return of 15 percent. Annual return standard deviations for these three stocks are 37 percent, 47 percent, and 57 percent. The return correlations among all three stocks are zero. What is the smallest expected loss for your portfolio in the coming year with a probability of 16 percent?

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