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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Related Book For
Quantitative Financial Risk Management
ISBN: 9781119522201,9781119522263
1st Edition
Authors: Michael B. Miller
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