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Tagged with correlation-matrix value-at-risk
3 questions
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Covariance of Individual Return and Portfolio Return
Hi guys,
Is it possible to get the covariance between the individual return and portfolio return given the correlation matrix, volatility matrix, weights matrix and return matrix?
I know how to get ...
- 255
0
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2
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Parametric VaR assumption question
Why do you have to make a correlation matrix when calculating the parametric value at risk, if one of the assumptions for this method to work is that the assets of the portfolio must be independently ...
- 101
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2
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Does one use the covariance or correlation matrix in cholesky decomposition to generate correlated samples
Can we interchangeably use Cholesky decomposition of covariance and correlation matrix to generate simulations? If not, in which situations do we use one or the other and why?
Thanks in advance.
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