What is the smallest number of assets that portfolio contain

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Reference no: EM131937156

An investor has access to a set of N securities (where N is large).

Each of them has an annual return variance of 0.25 and the correlation between every pair of the N assets is 0.5.

The investor wants to build an equally 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?

Reference no: EM131937156

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