| Return vol $$ \sigma_{1} $$ | Return vol $$ \sigma_{2} $$ | Return correlation $$ \rho_{12} $$ | Portfolio volatility |
|---|---|---|---|
| $3 | $4 | 1.0 | $$ \sqrt{3^2 + 4^2 + 2 \cdot 3 \cdot 4 \cdot 1} = 3 + 4 = |
| $3 | $4 | -1.0 | $$ \sqrt{3^2 + 4^2 + 2 \cdot 3 \cdot 4 \cdot (-1)} = 4 - 3 = |
| $3 | $4 | 0.5 | $$ \sqrt{3^2 + 4^2 + 2 \cdot 3 \cdot 4 \cdot 0.5} = \sqrt{37} = |
| $3 | $4 | -0.5 | $$ \sqrt{3^2 + 4^2 + 2 \cdot 3 \cdot 4 \cdot (-0.5)} = \sqrt{13} = |
| $3 | $4 | 0 | $$ \sqrt{3^2 + 4^2} = |
Created
December 20, 2020 21:58
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portfolio_opt_table.md
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