Modern Portfolio Theory and Investment Analysis¶
Elton, E. J., Gruber, M. J., Brown, S. J., & Goetzmann, W. N. (2014). Modern Portfolio Theory and Investment Analysis. Wiley.
Cited by¶
1 citation across 1 artifact.
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Primes¶
- Diversification
- The same identity reappears, under different notation, in diversity-combining in communications, the ecological insurance hypothesis, and reliability theory's common-cause failure analysis.
This sourceDerives the equal-weight portfolio-variance identity whose covariance floor (ρσ²) is set by correlation rather than count. (Print textbook, ISBN 978-1-118-46994-1.)
- The same identity reappears, under different notation, in diversity-combining in communications, the ecological insurance hypothesis, and reliability theory's common-cause failure analysis.
Verification¶
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