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Mathematics, 02.01.2020 22:31 kimmy6973

Suppose each stock in andre’s portfolio has a correlation coefficient of 0.40 (rho = 0.40) with each of the other stocks. the market’s average standard deviation is approximately 20%, and the weighted average of the risk of the individual securities in the partially diversified four-stock portfolio is 39%. if 40 additional, randomly selected stocks with a correlation coefficient of 0.30 with the other stocks in the portfolio were added to the portfolio, what effect would this have on the portfolio’s standard deviation?

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Suppose each stock in andre’s portfolio has a correlation coefficient of 0.40 (rho = 0.40) with each...
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