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翻訳と辞書　辞書検索 [ 開発暫定版 ] スポンサード リンク Financial correlation ： ウィキペディア英語版 Financial correlation Financial correlations measure the relationship between the changes of two or more financial variables in time. For example, the prices of equity stocks and fixed interest bonds often move in opposite directions: when investors sell stocks, they often use the proceeds to buy bonds and vice versa. In this case, stocks and bonds are negatively correlated. Financial correlations play a key role in modern finance. Under the capital asset pricing model, CAPM (a model recognised by a Nobel prize), an increase in diversification increases the return/risk ratio. Diversification is synonymous with inverse correlation: the lower the correlation between the constituent holdings, (preferably negative), the lower the risk of holding the combined portfolio. Measures of risk include value at risk VAR, expected shortfall ES, and enterprise risk management ERM. ==Financial correlation and the Pearson product-moment correlation coefficient== There are several statistical measures of the degree of financial correlations. The Pearson product-moment correlation coefficient is sometimes applied to finance correlations. However, the limitations of Pearson correlation approach in finance are evident. First, linear dependencies as assessed by the Pearson correlation coefficient do not appear often in finance. Second, linear correlation measures are only natural dependence measures if the joint distribution of the variables is elliptical. However, only few financial distributions such as the multivariate normal distribution and the multivariate student-t distribution are special cases of elliptical distributions, for which linear correlation measure can be meaningfully interpreted. Third, a zero Pearson product-moment correlation coefficient does not necessarily mean independence, because only the two first moments are considered. For example, $Y\; =\; X^2$ (''y'' ≠ 0) will lead to Pearson correlation coefficient of zero, which is arguably misleading. Since the Pearson approach is unsatisfactory to model financial correlations, quantitative analysts, (quants) have developed specific financial correlation measures. 抄文引用元・出典: フリー百科事典『 ウィキペディア（Wikipedia）』 ■ウィキペディアで「Financial correlation」の詳細全文を読む スポンサード リンク 翻訳と辞書 : 翻訳のためのインターネットリソース Copyright(C) kotoba.ne.jp 1997-2016. All Rights Reserved.