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- 2011-7-2
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3#
发表于 2011-7-13 16:09
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Without going into that question, I will think it is only approximation.
Theoratically, when we combine 2 assets (or portfolios in this case), for any correlation not equal to 1, there are going to be diversification benefits. meaning the combined risk would fall and sharpe ratio would go up.
Does it mention/hint anywhere in the question that there is 0 correlation between these portfolios? In that case, when correlation is 0, Sharpe Ratio of the combination could be weighted average of A and B.
Just the way I am thinking.. |
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