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Results tagged with covariance-matrix
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user 44926
The covariance matrix of a list of instruments or indexes is made of the 2 by 2 covariance between the returns of each pair of them. It is hence symmetric and its diagonal is the variance of the returns.
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Covariance matrix for historical series w/ different start and end dates
I am trying to compute the variance-covariance matrix of my portfolio composed by some shares of different companies. I would select a time horizon of two years but for some shares of one company I do …
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