New answers tagged


Your question seems very simple. The $\rho_{ij}$ are the correlations between asset i and asset j, in other words these are the elements of the Correlation Matrix. This notation is very standard in Portfolio Optimization problems. The number of securities n, the n-by-n Correlation Matrix R and the n vector of $\sigma_j$'s are the main inputs of a Risk Parity ...

Top 50 recent answers are included