Session8

# Session8 - Notes Session 8 > Chapter 13 Direct Foreign...

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(Code: VAR= Variance (this is the squared standard deviation) W= weight, CORR= correlation coefficient; P = portfolio) SD 2 P = {(W 2 A )(SD 2 A ) + (W 2 B )(SD 2 B) } + 2 (W A )(W B )(SD A )(SD A )(CORR AB ) Or to put it in words: Variance of a portfolio = {(squared weighting of Asset A)(Variance of A)} + {(squared weighting of Asset B)(Variance of B)} + 2(Weighting of Asset A)(Weighting of Asset B)(Standard Deviation of A)(Standard Deviation of B)(Correlation of A and B)
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Session8 - Notes Session 8 > Chapter 13 Direct Foreign...

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