标题: Market segmentation and correlation [打印本页] 作者: pimpineasy 时间: 2011-7-11 19:40 标题: Market segmentation and correlation
On page 45, volume 3 , the correlation of a completely segmented market is 1. I find it difficult to understand because if a market is completely segmented, shouldn't the correlation be zero?作者: lcai 时间: 2011-7-11 19:40
I had trouble with this too. Ond one way to think about it is that if the market is completed segmented, then its market portfolio is it's own portfolio. That's why it has a correlation of 1.作者: liangfeng 时间: 2011-7-11 19:40
I had trouble with this too. Ond one way to think about it is that if the market is completed segmented, then its market portfolio is it's own portfolio. That's why it has a correlation of 1.
Then the question is why are you using the standard deviation of the market portfolio. In the schweser review class, he basically brought up the question, then said take it as a given.
