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Admissible values for non diagonal elements of correlation matrix

In your example, $$ \begin{align} V(\sum X_i) &= \sum V(x_i)+2\sum_{i=1}^n\sum_{j=i+1}^n V(X_i,X_j)\\ &=n+2\sum_i^n\sum_{j=i+1}^n\rho\\ &=n+2\rho \frac{n(n-1)}{2}\\ &=n+n(n-1)\rho \end{...
Kermittfrog's user avatar
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2 votes
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How to construct a delta-neutral portfolio containing stocks using correlations?

The answer depends on your definition of "neutralise". For some people it is a matter of being dollar neutral. Then the answer is straightforward. In your case it seems that you have also in ...
lehalle's user avatar
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2 votes

PCA factors not uncorrelated

If $X1$ and $X2$ are almost perfectly correlated (but variance of x1 is a million times variance of x2) so that the first (normalised) pca factor is (1/sqrt(2),1/sqrt(2)) and second is (1/sqrt(2),-1/...
Arshdeep's user avatar
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