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Unformatted text preview: when: w D = [ r Df E 2 – r Ef DE ] ÷ [ r Df E 2 + r Ef D 2 – ( r Df + r Ef ) DE ] w E = 1 – w D ( r Df E( r D ) – r f and r Ef E( r E ) – r f ) 5. If every security has the same expected return E(r) and the same standard deviation , and the correlation between any two securities is , the expected return E(r p ) and the standard deviation p for an equally-weighted portfolio of n securities are given by: E(r p ) = n ( E(r) / n ) = E(r) p = [ 2 / n + ( n-1)/ n × 2 ] 1/2...
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This note was uploaded on 11/27/2011 for the course FINA 3104 taught by Professor Darwin during the Spring '11 term at HKUST.
- Spring '11