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Mark
Both the Schweser and CFAI treatment are the same: the same GIM Sharpe is used for both integrated and segmented calculations.
I guess I too will just accept this and move on, but one WOULD think that a “perfectly” segmented portfolio would have a correlation of 1 ONLY to the local segmented market, and NOT to the GIM Sharpe. |
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发表于 2013-5-3 16:05
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