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- UID
- 222273
- 帖子
- 226
- 主题
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- 注册时间
- 2011-7-2
- 最后登录
- 2016-4-19
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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? |
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发表于 2011-7-11 19:32
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