Overlapping Correlation Coefficient

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.

MoreLess

Authors:	Tasca, Paolo
Institutions:	Department of Management, Technology and Economics (D-MTEC), Eidgenössische Technische Hochschule Zürich (ETHZ)
Subject:	diversification \| overlapping portfolios \| correlation

More details

Extent:	application/pdf
Series:	Working Papers.
Type of publication:	Book / Working Paper
Notes:	Number ETH-RC-13-004
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010695977