Often in a quant process, one will generate a time series of return forecasts and use them in some sort of optimization to generate a portfolio. Generally, there will be a covariance matrix of market ...
I am working with a set of covariance matrices evaluated at various points in time over some history. Each covariance matrix is $N\times N$ for $N$ financial time-series over $T$ periods. I would ...
When it comes to comparing returns or prices of instruments like stocks/ETFs, are there any well-established formulas, or ones in common use, that place stronger emphasis on recent correlations more ...
What would be an ideal way to estimate the covariance of an index with a basket of stocks? For example, should I use one-tail ANOVA test or an individual stock & index F-test?
I am implementing a method in Java to calculate the variance, covariance, and value at risk for a portfolio, which should be flexible for use with any number of assets in a portfolio. I am struggling ...
Suppose you have two sources of covariance forecasts on a fixed set of $n$ assets, method A and method B (you can think of them as black box forecasts, from two vendors, say), which are known to be ...