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At the beginning of the analysis, an analyst was able to gather the expected returns, the standard deviations of return and market value weights for the assets that comprise a portfolio. In the absence of covariance’s of returns between asset pairs which parameter(s) can the analyst calculate.
I. expected return on the portfolio.
II. variance of the return on the portfolio
III. correlations between asset pairs.
IV. reduction in risk due to diversification.