# Tag Info

### Covariance Matrix by Multi-Factor Model

Let there be $n$ assets and $k$ factors in the market. We assume multivariate normally distributed factor returns $$r_f\sim \mathrm{N}\left(\mu_f,\Sigma_f\right)$$ with $k\times k$ factor covariance ...
• 5,333

### Are there optimal portfolio theories than instead of the expected value they were based on the Mode of distributions

Yes, I am proposing a new branch of stochastic calculus. It drops Ito's assumption that the parameters are known. There is a Bayesian branch and the conjecture of a Frequentist branch. It is ...
• 3,976

### In Mean-Variance Analysis, why not the efficient frontier being pushed to the left near the axis?

You have a good point there. Consider the case of uncorrelated assets, $N$ of them, and for simplicity assume they all have the same variance $\sigma^2$. You take an equally weighted portfolio now, ...
• 270
1 vote

### Is there a performance measure for the entire efficient frontier?

Probably under utilized is the Area Under the Curve (AUC or ROC). Assuming a straight level represents equal increments of reward and risk, measuring the mean variance line area under the curve (as ...
• 1,044
1 vote

### Is there a performance measure for the entire efficient frontier?

I remember that i saw an article using an numerical integral of the area below the efficient frontier to approximate the set of stochastically dominant portfolios for a given mean-variance combination ...
• 178