Suppose there are n securities with identically and independently distributed rates of return and that an investor has y to invest in a portolio. Show (a) that dividing y equally among all the...

Suppose there are n securities with identically and independently distributed rates of return and that an investor has y to invest in a portolio. Show (a) that dividing y equally among all the securities minimizes the variance of the portfolio and (b) that the portfolio variance tends to zero as n → ∞.