3273数学中等derivationmedium
Which Portfolio Is Better Aligned with the Low-Variance PC?
题目
A covariance matrix has eigenvalues and , with first eigenvector proportional to and second eigenvector proportional to . Compare the variances of portfolios and .
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你的答案
Variance of p1
Variance of p2
Comparison factor (Var(p2) / Var(p1))