sample 2 Q14:
Var (p) = Sum of n Var(i) + Sum of n*(n-1) Cov (i,j)
Cov (i,j) = rho * sigma i * sigma j
When rho < 0, Var (p) decreases as sigma i, sigma j get larger.
Given negative correlation, larger volatility (as massured by sigma or Variance) results greater diversification benefit | 
发表于 2009-5-27 02:55
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