Tagged Questions
1
vote
2answers
105 views
What do the terms in-sample and out-of-sample estimates mean in MVO?
How do the in-sample estimates and out-of-sample estimates I so often hear authors refer to in emperical analysis of MVO differ?
3
votes
3answers
139 views
How to see if a set of asset returns corresponds to a known correlation matrix?
Let's say I have an arbitrary set of $n$ period returns for $k$ assets, and a given $k \times k$ correlation matrix (of asset returns), which is known a priori.
Does it makes sense, or is it even ...
7
votes
1answer
997 views
Why is the first principal component a proxy for the market portfolio, and what other proxies exist?
Let's say that I have a universe of stocks from a certain sector. I want to compute the market portfolio of this sector. Beta is the covariance between each stock and the market. But how do you ...
