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如何量化投资多样化的相关影响

How to Quantify the Influence of Correlations on Investment Diversification
课程网址: http://videolectures.net/ccss09_medo_htqtioc/  
主讲教师: Matuš Medo
开课单位: 弗里堡大学
开课时间: 2009-07-10
课程语种: 英语
中文简介:
当资产相互关联时，投资多样化的好处就会减少。为了衡量相关性对投资绩效的影响，提出了一个新的量——有效投资组合规模，并在人工和实际情况下进行了研究。我们表明，在大多数情况下，有效的投资组合规模远远小于投资组合中的实际资产数量，而且在金融危机期间，有效的投资组合规模会进一步降低。
课程简介: 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 proposed and investigated in both artificial and real situations. We show that in most cases, the effective portfolio size is much smaller than the actual number of assets in the portfolio and that it lowers even further during financial crises.
关 键 词: 投资多样化; 投资组合; 金融危机
课程来源: 视频讲座网
最后编审: 2019-12-27：lxf
阅读次数: 23

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