| 单词 | correlation of returns |
| 释义 | correlation of returns The extent to which the returns on one project are good or bad at the same time as the returns on another. Suppose that x and y are the returns on two risky projects, with expected means μx and μy. The returns are positively correlated if the expected value E[(x - μx) (y - μy )] is positive, they are negatively correlated if this expected cross-product is negative, and they are independent if the expected cross-product is zero. The more strongly the returns on different projects are correlated, the less reduction in overall risk can be obtained by combining them in one firm or one portfolio. The nearer they are to independence, the more overall risk can be reduced by combining projects; overall risk can be reduced still further if projects can be found with returns which are negatively correlated. |
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