Tagged Questions
3
votes
0answers
81 views
Stress testing covariance
Going one level beyond stressed scenarios, to parameters e.g. for a VaR measure: what are the most common approaches for stressing a covariance/correlation matrix, especially taking portfolio exposure ...
8
votes
2answers
574 views
Analytical relationship between a covariance matrix and cross-sectional dispersion
Given an expected returns vector and a covariance matrix, one can perform a joint draw and measure the average cross-sectional variation as the standard deviation across returns for a particular joint ...
