So what’s the bottom line for investors? For much of the last fifty years, an investor in money markets and other short-term instruments could earn a reasonable after-inflation return without taking ...

For a symmetric correlation matrix, the Inverse Correlation Matrix table contains the inverse of the correlation matrix, as shown in Figure 40.14. The diagonal elements of the inverse correlation ...

In this tutorial we begin our investigation of multivariate statistics using correlation and scatterplots. The idea is that we have two continuous variables and we want to examine the strength of the ...

As global financial markets become increasingly interconnected, accurately modelling correlations between assets is essential. Traditional models often assume static correlations, which fail to ...

Harry Markowitz famously quipped that diversification is the only free lunch in investing. What he did not say is that this is only true if correlations are known and stable over time. Markowitz’s ...

This is a preview. Log in through your library . Abstract Correlation matrices play a key role in many multivariate methods (e.g., graphical model estimation and factor analysis). The current state-of ...

This is a preview. Log in through your library . Abstract The minimum chi-squared test is obtained for testing the hypothesis that the smallest r eigenvalues of an m × m correlation matrix are equal, ...