The covariance tag has no wiki summary.
23
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5answers
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How do I graphically represent the evolution of a covariance matrix over time?
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 ...
21
votes
9answers
5k views
Why does the minimum variance portfolio provide good returns?
I've been a researching minimum variance portfolios (from this link) and find that by building MVPs adding constraints on portfolio weights and a few other tweaks to the methods outlined I get ...
17
votes
2answers
705 views
Tools in R for estimating time-varying copulas?
Are there libraries in R for estimating time-varying joint distributions via copulas?
Hedibert Lopes has an excellent paper on the topic here. I know there is an existing packaged called copula but ...
5
votes
1answer
386 views
Proof for non-positive semi-definite covariance matrix estimator
It is well known that the standard estimator of the covariance matrix can lose the property of being positive-semidefinite if the number of variables (e.g. number of stocks) exceeds the number of ...
