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Tagged with covariance-estimation expected-return
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Excess Return Covariance Matrix is Singular - Cash return and risk free rate are the same [closed]
I've created a three asset excess return covariance matrix. The assets are; equity, bonds, and cash. However, my cash return is the same as my risk free rate ( i.e. 3 month Euribor). This is leaving ...
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Return forecasting for portfolio optimization
I have some questions related to forecasting returns and how it's used to generate the inputs for portfolio optimization.
First, I want to understand why factor models such as FF- 3-factor model are ...
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Black Litterman - numerical instability
I am trying to work out the formula for the posterior mean in Black Litterman's model assuming 100% confidence :
Ref: https://corporate.morningstar.com/ib/documents/MethodologyDocuments/IBBAssociates/...
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