I have two sub portfolios (lets call them portfolio a & portfolio b - a portfolio is just a vector of weights that sum to 1) that combine to create a total portfolio. I also have a 2 x 2 ...
What is the best way to score a portfolio's diversity based on it's returns covariance matrix? I know that if my portfolio has two securities and their returns' correlation coefficient is -1 that is ...
This is a basic question. I have three assets, equally weighted, and all the mutual covariances are -1. Then, the covariance matrix looks like - ...
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'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 ...