Siqi 方差的最后一项是不是差了一个2× ? Vp=W2TLT∗σ2TLT+W2SHY∗σ2SHY+2×WTLT∗WSHY∗σTLT∗σSHY∗Corr(TLT,SHY) https://en.wikipedia.org/wiki/Variance