Monday, July 19, 2010

My Article at SeekingAlpha - Portfolio Optimization and Rising Correlations

Here's a link to my article at

In particular, it talks about "true" diversification amidst rising correlations and the evolving world -- and some implications for portfolio optimization. I show a tool I developed that I call semi-correlation. This statistic can show which asset classes offer more "true diversification" when many assets start moving together in a financial crisis.

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