Your portfolio consists of three assets that have

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Your portfolio consists of three assets that have stochastic returns. Your research team has estimated that the returns for each asset are distributed normally with a mean of and a standard deviation of : Your research team is also confident that the returns are uncorrelated. If you have invested equally in the three assets, calculate the expected value (i.e mean) and standard deviation of the return on your portfolio.

Consider the same situation as in the above problem. What is the implication for the expected value and standard deviation of the returns on your portfolio if you invest in N (instead of only 3) of these assets and N becomes very large?

Reference no: EM13378486

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