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Results tagged with markowitz
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user 46421
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answers
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Herfindahl-Hirsch-Index for FX Portfolios
All pairs have USD as one of the legs (USD is the base currency of the portfolio, and I would like to allocate to other currencies using Markowitz). …
- 66
0
votes
2
answers
938
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Number of Observations for Non-Singular Covariance Matrix Estimation
Marcos López de Prado writes the following in his book Advances in Financial Machine Learning:
In general, we need at least \frac{1}{2} N (N+1) independent and identically distributed (IID) observati …
- 66