Based on the previous results, we can say that, as we include more
7 i& w6 T! f) f" P$ K& Gand more assets into our portfolio, the ”variance risk” can be: S( d, r* A& k' D h) ^- p
diversified away, whereas the ”covariance risk” cannot.
0 a, G5 x5 y1 @# k4 Y2 O* Y- NIn practice, we also observe similar results. As we include more
5 J7 p+ P% y% Q9 E3 w0 passets in our portfolio, the portfolio return variance firstly7 T% l8 \; g! P
decreases, and then approach to a particular level, and will not
' g- p+ o& `. f. Yreach zero.- c2 `' t7 `' l' ]# x& |! a+ U2 U
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发表于 2019-3-2 23:20:24
照妖镜