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suppose your universe of risky assets consists of an infinite number of assets. They all have a standard deviation of 32.7 per cent, and a correlation with any other asset of 0.3. You invest in equal amount in a very large portfolio. What limit will the standard deviation (in per cent scale) of your total portfolio approach, as the number of assets in your portfolio N, approaches infinity? a. zero b. 37,7 c. 9,815 d. 17,911

As the number of assets in the portfolio approache...