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diversification

  1. Nicole Seaman

    YouTube T1-7 How the portfolio possibilities curve (PPC) illustrates the benefit of diversification

    When correlations are imperfect, diversification benefits are possible. The portfolio possibilities curve illustrates this and it contains two notable points: the minimum variance portfolio (MVP) and the optimal portfolio (with the highest Sharpe ratio), At the end, I summarize four features of...
  2. G

    R10.P1.T1.BODIE_CH10_DIVERSIFICATION_of_RESIDUAL_RISK

    Hi, In Reference to R10.P1.T1.BODIE_CH10_DIVERSIFICATION_of_RESIDUAL_RISK :- The Weighted-Variance of the Residual Risk = Avg-Variance of Residual Risk/ N =[ (Std-Dev of Residual Risk) ^ 2 / N ] / N The Avg-Volatility = ( Std-Dev/ N ) = 40% So, the Last term should be just (40% ) ^2...
  3. Nicole Seaman

    P1.T1.705. Fama-French three factor model (Bodie's multifactor models continued)

    Learning objectives: Describe properties of well-diversified portfolios and explain the impact of diversification on the residual risk of a portfolio. Explain how to construct a portfolio to hedge exposure to multiple factors. Describe and apply the Fama-French three factor model in estimating...
  4. Nicole Seaman

    P2.T8.412. Hedge funds as diversifiers and agents

    AIMs: Describe the historical portfolio construction and performance trend of hedge funds compared to equity indices. Describe market events which resulted in a convergence of risk factors for different hedge fund strategies, and explain the impact of such a convergence on portfolio...
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