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2#
发表于 2013-4-8 21:59
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theyre basically trying to figure out if adding a new investment class (bonds in your case) to the existing portfolio will add value. you’re forgetting the first part of that equation which goes:
IF - sharpe of new (sharpe of existing) * ( correlation of new asset class with existing) - THEN ADD THE NEW.
This will increase the overall sharpe of the existing portfolio making it optimal. |
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