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A portfolio manager finds that a particular collection of securities has a correlation coefficient of 0.96 with the S&P500. If the objective is to mimic
- A portfolio manager finds that a particular collection of securities has a correlation coefficient of 0.96 with the S&P500. If the objective is to mimic this index, would it make sense to try to increase the correlation by adding more securities? What are the pros and cons of doing so?
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Introduction to Finance Markets, Investments and Financial Management
Authors: Ronald W. Melicher, Edgar A. Norton
16th edition
1119398282, 978-1-119-3211, 1119321115, 978-1119398288
