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Wendy01

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tT
发表于 2011-7-13 13:19 | 只看该作者

Average standard deviation

active, instead, average, standard
There like one case where we can average or weighted standard deviations to get the total standard deviation instead of using the

squared weights squared standard deviation plus 2 time correlation blah blah formula....

Where is it? Is that for active managers maybe?
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Windjammer

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2#
发表于 2011-7-13 13:19 | 只看该作者
think you're referring to total standard deviation of a portfolio on adding a foreign stock?

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Zestt

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3#
发表于 2011-7-13 13:19 | 只看该作者
Standard deviation for 2 corner portfolios

NO EXCUSES

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bpdulog

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4#
发表于 2011-7-13 13:19 | 只看该作者
For portfolios on the efficient frontier, you don't need correlation coefficient

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lcw77

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5#
发表于 2011-7-13 13:19 | 只看该作者
Again though, both of those use the formula without the correlation part of it, but none the less its squared weights....just the other day i did a problem that said you basically take the average of the standard deviations, just like you would do returns, but i cant for the life of me figure out what it was...



Edited 1 time(s). Last edit at Monday, May 30, 2011 at 03:17PM by rolo550.

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mcmc

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6#
发表于 2011-7-13 13:19 | 只看该作者
stevenevans Wrote:
-------------------------------------------------------
> Buddy -- when you add a foreign stock to the
> portfolio -- then the correlation coeffecient and
> weights come into play

Agreed- there are no weights because the market risk and the currency risk come into play for the entire amount.

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