Expected Return | Volatility | Unconditional Correlation | Downside Correlation | Upside Correlation | Asymmetry | |
---|---|---|---|---|---|---|
Equity Portfolio | 8% | 12% | 2% | 85% | -30% | 114% |
Hedge Fund | 8% | 12% |
Optimal Portfolios | ||
---|---|---|
Mean-Variance | Full-Scale | |
Equity Portfolio | 50 % | 100 % |
Hedge Fund | 50 % | 0% |
Exposure to Loss (Prob. <-10%) | 0.250% | 0.125% |