Importance of Asset Correlations Many investors subscribe to Modern portfolio theory (MPT). MPT provides a model for how risk-averse investors can construct portfolios that maximize risk-adjusted returns (Sharpe ratio). It’s…
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Importance of Asset Correlations Many investors subscribe to Modern portfolio theory (MPT). MPT provides a model for how risk-averse investors can construct portfolios that maximize risk-adjusted returns (Sharpe ratio). It’s…