Timeline for Excess Return Covariance Matrix is Singular - Cash return and risk free rate are the same
Current License: CC BY-SA 4.0
3 events
| when toggle format | what | by | license | comment | |
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| Apr 24 at 13:42 | comment | added | KaiSqDist | No worries, hope it works! Please do update your results (as an answer) if it succeeds. I am interested in this topic as well. | |
| Apr 24 at 13:21 | comment | added | Farrep7 | Thank you @KaiSqDist. This is very helpful and was the direction my thinking was already going. Essentially, what I'm currently proposing to do is to keep 3mth Euribor as the risk free asset and use 1mth Euribor as the risky asset. The 3mth matches our time horizon for the investment decision. I plan to create an index of returns for the 1mth Euribor and hopefully this will add variance to my covariance matrix. My returns are monthly btw. | |
| Apr 24 at 11:57 | history | answered | KaiSqDist | CC BY-SA 4.0 |