A portfolio contains three securities. You perform principal component analysis on the securities and find that the

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A portfolio contains three securities. You perform principal component analysis on the securities and find that the three principal components explain 60%, 30%, and 10%

of the overall variance. What is the diversification index of the portfolio?

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Quantitative Financial Risk Management

ISBN: 9781119522201,9781119522263

1st Edition

Authors: Michael B. Miller

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Question Posted: Mar 03, 2024 10:29 AM

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A portfolio contains three securities. You perform principal component analysis on the securities and find that the

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Quantitative Financial Risk Management

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