Variance matrix differences
Torturing portfolios to give different volatilities between a factor model [...]
Predicted correlations and portfolio optimization
What effect do predicted correlations have when optimizing trades? Background [...]
Variability of predicted portfolio volatility
A prediction of a portfolio's volatility is an estimate -- [...]
How to add a benchmark to a variance matrix
There is a good way and a bad way to [...]
Correlations and postive-definiteness
On the way to another destination, I found some curious [...]
Three things factor models do
Factor models are heavily used in finance to create variance [...]
The quality of variance matrix estimation
A bit of testing of the estimation of the variance [...]
Realized efficient frontiers
A look at the distortion from predicted to realized. The [...]
The BurStFin R package
Version 1.01 of BurStFin is now on CRAN. It is [...]
Sensitivity of risk parity to variance differences
Equal risk contribution of assets determines the asset weights given [...]