A portfolio, with a standard deviation of $30 million contains three positions. The three positions, in turn,
Question:
A portfolio, with a standard deviation of $30 million contains three positions.
The three positions, in turn, have standard deviations of $10 million, $20 million, and
$30 million. What is the diversification score of the portfolio?
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Related Book For
Quantitative Financial Risk Management
ISBN: 9781119522201,9781119522263
1st Edition
Authors: Michael B. Miller
Question Posted:
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