Which of the following statements is true:
I. The standard deviation of a short position is the same as the standard deviation of a long position
II. The expected return of a short position is the same as that a long position in the same asset
III. If two assets are perfectly positively correlated, then a short position in one and a long position in the
other are negatively correlated IV. If we increase the weight of an asset in a portfolio, its correlation with other assets in the portfolio scales up proportionately
Which of the following portfolios would require rebalancing for delta hedging at a greater frequency in order to maintain delta neutrality?
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