|
- UID
- 222246
- 帖子
- 238
- 主题
- 53
- 注册时间
- 2011-7-2
- 最后登录
- 2016-4-19
|
| No… the statement is correct. Variance formula for two assets is (w1*sd1)^2 + (w2*sd2)^2 + 2*w1*w2*sd1*sd2*rho. If rho = 1, then this formula reduces to (w1*sd1 + w2*sd2)^2. Standard deviation is the square root, w1*sd1 + w2*sd2. |
|
发表于 2013-4-28 12:20
|