1. 

   SYABC Member

   Hi
   
   
   If risk A £3m and risk B £4m have zero correlation then the total risk capital is
   
   sqrt(3^2+4^2) = £5m
   
   
   
   is the £2m (£7m-£5m) the diversification benefit? ?

    

   Last edited by a moderator: Feb 7, 2013

   SYABC, Feb 7, 2013

   #1
2. 

   bapan Ton up Member

   Yes ...

    

   bapan, Feb 7, 2013

   #2

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