1
vote
1answer
295 views

VaR Calculation - Covariance matrix is not positive semidefinite

This is a basic question. I have three assets, equally weighted, and all the mutual covariances are -1. Then, the covariance matrix looks like - ...
5
votes
0answers
147 views

Covariance estimation

Shrinkage was much en-vogue before RMT took everybody's attention, however the latter also showed its limits. A plethora of other estimators has been presented, but I could not yet spot a golden ...