Tagged Questions
2
votes
1answer
139 views
How to enumerate all the possible portfolios with a given target volatility?
Let's say I have $n$ assets and their returns are stored in a matrix $X \in \mathbb{R}^{m \times n}$ (i.e. I have $m$ returns for each of them.
The covariance matrix of the returns is $\Sigma \in ...
5
votes
3answers
176 views
How to measure investors' “experienced” volatility?
In asset allocation, you usually send reports to your clients where you will report the volatility of its portfolio. Assuming you only have monthly returns, you will compute volatility over a ...
