The investor wants to build an equallyr weighted portfolio


An investor has access to a set of N securities {where N is large}. Each of them has an annual return variance of I125 and the correlation between every pair of the N assets is 0.5. The investor wants to build an equallyr weighted portfolio of a subset of these N assets that has a return variance of 0.15 or smaller. What is the smallest number of assets that his portfolio should contain?

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Finance Basics: The investor wants to build an equallyr weighted portfolio
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