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- 2011-7-2
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- 2015-12-29
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| I'm thinking you meant correlation would have to be 1.0 for the Sharpe ratio of the portfolio to be the weighted avg. of the Sharpe ratio of the assets. Anything less than 1.0 would bring diversification benefits, raising the Sharpe ratio above the weighted avg. |
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发表于 2011-7-13 16:09
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