Calculating Covariance for Effective Stock Portfolio Management

Discover how to calculate covariance to assess stock relationships and optimize your portfolio, balancing risk and potential ...
Investopedia

Understanding Covariance: How It Indicates Relationships Between Variables

Investopedia contributors come from a range of backgrounds, and over 25 years there have been thousands of expert writers and editors who have contributed. Covariance indicates the relationship ...
Risk

Covariance estimation for risk-based portfolio optimization: an integrated approach

Many problems in quantitative finance involve both predictive forecasting and decision-based optimization. Traditionally, covariance forecasting models are optimized with unique prediction-based ...
International Monetary Fund

High-Dimensional Covariance Matrix Estimation: Shrinkage Toward a Diagonal Target

This paper proposes a novel shrinkage estimator for high-dimensional covariance matrices by extending the Oracle Approximating Shrinkage (OAS) of Chen et al. (2009) to target the diagonal elements of ...
Risk

General covariance, the spectrum of Riemannium and a stress test calculation formula

The formula is motivated by some recent and some old developments in random matrix theory and a requirement that it be explicitly invariant under a change of basis of risk factors. It may naturally be ...