All Questions
Tagged with correlation-matrix portfolio-optimization
8 questions
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Calculation of break-even correlation for diversification effect in N-assets case?
I'm thinking about a generalization of the following case: for 2 assets, there is a diversification effect as soon as i obtain a positive weight for the minimum-variance portfolio in the asset with ...
- 600
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Sub-portfolio correlation
I am trying to reduce correlation matrices into sub portfolios.
For example, I have a covariance matrix $\Sigma$ and weight-vector $w$ of two line items which I blend together into a sub-portfolio $\...
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Can the covariance matrix be represented as a scalar or something similarly small, instead of a large pair-wise grid?
The covariance matrix tabulates pair-wise interactions between variables (assets) one-at-a-time into a grid, which can quickly become large as the number of assets included in a portfolio, for example,...
- 3,090
-2
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Should portfolios have zero or negative correlation between assets? [closed]
Is it more optimal to have a portfolio whose assets are negatively
correlated? (I am not requiring all assets to be negatively correlated in this case, nor (-1) perfectly negative correlation either. ...
- 3,090
2
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Which portfolio is more "diversified": the $\frac{1}{N}$, the MDP or the max decorrelation?
Equally-weighted portfolio: weights each asset the same $w_i = 1/N$
Maximum diversification portfolio: maximizes the ratio, $\frac{w' \sigma}{\sqrt{w' \Sigma w}}$
Maximum decorrelation portfolio: ...
- 3,090
1
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1
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Double objective in portfolio optimization
Is there anything infeasible or ethically wrong about optimizing portfolios like this?
$$\min_w \enspace w' \Sigma w + w' C w$$
where $\Sigma$ is the asset return covariance matrix, and $C$ is the ...
- 3,090
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2
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362
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Which is more ill-conditioned, the asset correlation matrix or covariance matrix?
If i have a matrix of multivariate asset returns for $N$ stocks, and i compute from it the covariance matrix and then the correlation matrix, can I always know which of the two will have the higher ...
- 3,090
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Correlation Between 2 Portfolios
I have a set of assets, n. I'm trying to find the correlation between 2 portfolios, say x and y, where x is nested in, or, a sub-set of y. That is, x is a portfolio based on a sub-set of n, while y is ...
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