diversification

When correlations are imperfect, diversification benefits are possible. The portfolio possibilities curve illustrates this and it contains two notable points: the minimum variance portfolio (MVP) and the optimal portfolio (with the highest Sharpe ratio), At the end, I summarize four features of...

Hi, In Reference to R10.P1.T1.BODIE_CH10_DIVERSIFICATION_of_RESIDUAL_RISK :- The Weighted-Variance of the Residual Risk = Avg-Variance of Residual Risk/ N =[ (Std-Dev of Residual Risk) ^ 2 / N ] / N The Avg-Volatility = ( Std-Dev/ N ) = 40% So, the Last term should be just (40% ) ^2...

Learning objectives: Describe properties of well-diversified portfolios and explain the impact of diversification on the residual risk of a portfolio. Explain how to construct a portfolio to hedge exposure to multiple factors. Describe and apply the Fama-French three factor model in estimating...

AIMs: Describe the historical portfolio construction and performance trend of hedge funds compared to equity indices. Describe market events which resulted in a convergence of risk factors for different hedge fund strategies, and explain the impact of such a convergence on portfolio...