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The interpretation and units problem, ie the lack of an easily intuitive answer, is precisely why quants/econometricians etc. tend to shy away from talking too much about covariances [even if they are absolutely necessary; and frequently used]. Thus if anything involving covariances has to interpreted, let alone explained, the default is usually to express ...


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I personally think that the most appropriate answer is: it depends. Specifically what is "Markowitz's mean-variance model"? If we consider the more general definition it is an optimization framework and the portfolio is obtained by optimizing according to an objective function and it is expression of the estimated mean/return component and ...


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