Tasca, Paolo;
(2013)
Overlapping Correlation Coefficient.
(ETH Risk Center – Working Paper Series
13-004).
ETH Risk Center: Zurich, Switzerland.
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Abstract
This paper provides a mapping from portfolio risk diversification into the pairwise correlation between portfolios. In a finite market of uncorrelated assets, portfolio risk is reduced by increasing diversification. However, higher the diversification level, the greater is the overlap between portfolios. The overlap, in turn, leads to greater correlation between portfolios.
| Type: | Working / discussion paper |
|---|---|
| Title: | Overlapping Correlation Coefficient |
| Open access status: | An open access version is available from UCL Discovery |
| DOI: | 10.2139/ssrn.2376367 |
| Publisher version: | https://riskcenter.ethz.ch/ |
| Language: | English |
| Additional information: | This version is the version of record. For information on re-use, please refer to the publisher’s terms and conditions. |
| UCL classification: | UCL UCL > Provost and Vice Provost Offices > UCL BEAMS UCL > Provost and Vice Provost Offices > UCL BEAMS > Faculty of Engineering Science UCL > Provost and Vice Provost Offices > UCL BEAMS > Faculty of Engineering Science > Dept of Computer Science |
| URI: | https://discovery-pp.ucl.ac.uk/id/eprint/10180006 |
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