leneenmarshall1775 leneenmarshall1775
  • 21-03-2024
  • Business
contestada

For your universe of available assets, the future return for each asset has the same volatility, sigma equals 0.2, and the same correlation with each other asset, rho equals 0.4. The number of assets is very large. What is the approximate volatility of an equally weighted portfolio of all assets?
a) 20.00%
b) 17.89%
c) 12.74%
d) 12.65%

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