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- 2011-7-11
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- 2014-8-6
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Higher correlation, less stocks. What?
From p.393 of Vol6.
If the correlation among stocks were 0.1, the investor would need 90 stocks in the portfolio to obtain 110% of the minimum possible portfolio variance. If correlation amonng stocks were 0.5, the investor would only need 10 stocks.
I don't get the logic of needing less stocks if they're highly correlated. Shouldn't we be taking more to reduce the effect of high correlation? |
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发表于 2011-7-13 13:19
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