IS IT WORTH RELYING ON CORRELATION WHEN FORMING A PORTFOLIO

Abstract

The mail solution for compiling and structuring an investment portfolio is the distribution between stocks and bonds, often based on classical indicators and methods from modern portfolio theory (MPT). This article examines the question of whether to rely on asset correlation when forming a portfolio of securities of Russian issuers, when the return on assets has an uneven distribution or when the relationship between variables is not linear