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Which Portfolio Is Better Aligned with the Low-Variance PC?

题目

A covariance matrix has eigenvalues 2525 and 11, with first eigenvector proportional to (2,1)(2,1) and second eigenvector proportional to (1,2)(1,-2). Compare the variances of portfolios p1=(1,2)p_1=(1,-2) and p2=(2,1)p_2=(2,1).

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你的答案

Variance of p1

Variance of p2

Comparison factor (Var(p2) / Var(p1))