Volatility, Correlation, and Diversification in a
Multi-Factor World
Richard Roll
The Journal of Portfolio Management Winter 2013, 39 (2) 11-18; DOI: https://doi.org/10.3905/jpm.2013.39.2.011
Richard Roll
holds the Joel Fried Chair in Applied Finance at the University of California at Los Angeles in Los Angeles, CA.
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Volatility, Correlation, and Diversification in a
Multi-Factor World
Multi-Factor World
Richard Roll
The Journal of Portfolio Management Jan 2013, 39 (2) 11-18; DOI: 10.3905/jpm.2013.39.2.011