All Questions
Tagged with mean-variance standard-deviation
4 questions
0
votes
1
answer
70
views
How to prove the inequality for the standard deviation of a linear combination of two random variables
The variance of the linear combination V of random variables X₁ and X₂ is given by the following formula:
$$
\sigma_{V}^{2} = s^{2} \sigma_{1}^{2}+(1-s)^2 \sigma_{2}^{2}+2 s(1-s) c_{12}
$$
where s and ...
0
votes
0
answers
115
views
Units of Risk: Variance vs Standard Deviation
Suppose you are trading two mean-reverting assets, A and B, and that $Covar(A, B) > 0$. You are currently long one unit of A, and are considering buying one unit of B. Compared to the situation ...
- 881
2
votes
3
answers
995
views
Mean and standard deviation of price series with Kalman
I like to calculate the mean and standard deviation of a price series, using the Kalman filter. I am somehow stuck with the deviation, or have some problem in understanding, which my research could ...
- 41
11
votes
0
answers
2k
views
Formula for the efficient portfolios in mean-variance optimisation?
Consider the setting of mean-variance portfolio optimisation: $n$ assets with expected returns $\overline{r}_1,...,\overline{r}_n$ and standard deviations $\sigma_1,...\sigma_n$.
For a certain fixed $\...
- 1,052