Abstract
There are no free lunches in investing—but there is a very cheap one: diversification. Since Harry Markowitz, a graduate student at the University of Chicago, published his seminal essay on portfolio selection, we have learnt that there are two sources of volatility in a portfolio.1 One being the riskiness of the individual securities and the other the interrelations among their prices. The lower is the correlation among the returns on the portfolio components, the bigger the reduction of risk. Consequently, it should not come as a surprise that investors continuously seek low-correlation assets to improve the performance of their portfolios.
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Zaremba, A., Shemer, J. (2017). Introduction. In: Country Asset Allocation. Palgrave Macmillan, New York. https://doi.org/10.1057/978-1-137-59191-3_1
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DOI: https://doi.org/10.1057/978-1-137-59191-3_1
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