标题: combined std dev of corner portfolios [打印本页] 作者: krause2 时间: 2011-7-11 19:32 标题: 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?作者: Windjammer 时间: 2011-7-11 19:32
You not missing anything chief. Ignore the last part of the regular equation.
