suppose that we live in an N-asset world. how do i show that the portfolio variance of an equally-weighted portfolio is:

$\displaystyle var(Rp)= 1/N^2 sum_{i=1} (cov(i,j)) + 1/N^2 (sum) (sum) cov(i,j)$

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- Oct 22nd 2009, 07:00 AMpinkieeportfolio variance
suppose that we live in an N-asset world. how do i show that the portfolio variance of an equally-weighted portfolio is:

$\displaystyle var(Rp)= 1/N^2 sum_{i=1} (cov(i,j)) + 1/N^2 (sum) (sum) cov(i,j)$