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Knowledge Base » Correlation Matrices » Active Risk Tolerances

Active Risk Tolerances

Document ID: 2002-653 (previously 2002/006)
Published on: 30th June 2002
Author: David Carruthers

In this note we develop a simple example to help understand the tolerance that is acceptable in component active risk estimates when the portfolio manager is able to specify a level of tolerance at the total fund level.

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