A portfolio, with a standard deviation of $30 million contains three positions. The three positions, in turn,

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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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Quantitative Financial Risk Management

ISBN: 9781119522201,9781119522263

1st Edition

Authors: Michael B. Miller

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Question Posted: Mar 03, 2024 10:29 AM

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A portfolio, with a standard deviation of $30 million contains three positions. The three positions, in turn,

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Quantitative Financial Risk Management

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