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How to quantify the influence of correlations on investment diversification
quantify influence correlations investment diversification
2010/12/20
When assets are correlated, benefits of investment diversification are reduced. To measure the influence of correlations on investment performance, a new quantity - the effective portfolio size - is ...
Diversification and limited information in the Kelly game
Portfolio Management Data Analysis Statistics Probability Physics Society Applications
2010/12/16
Financial markets, with their vast range of different investment opportunities, can be seen as a system of many different simultaneous games with diverse and often unknown levels of risk and reward. W...