combined std dev of corner portfolios
both CFAI & Schweser just do a straight weighted average of the std devs of two corner ports to come up with a combined number.
My understanding was that to determine combined std dev we need to do the whole calculation: square root of weightA^2*stddevA^2 + weightB^2*stddevB^2 + 2*Corr etc...
what am i missing here? |