Skip to content
New issue

Have a question about this project? Sign up for a free GitHub account to open an issue and contact its maintainers and the community.

Sign up for GitHub

By clicking “Sign up for GitHub”, you agree to our terms of service and privacy statement. We’ll occasionally send you account related emails.

Already on GitHub? Sign in to your account

Jump to bottom

Correlation instead of Covariance is used in Calculating Portfolio Variance? #1390

Open
chuhean opened this issue Jul 26, 2024 · 0 comments
Open

Correlation instead of Covariance is used in Calculating Portfolio Variance? #1390

chuhean opened this issue Jul 26, 2024 · 0 comments

Comments

@chuhean
Copy link

chuhean commented Jul 26, 2024 •
edited
Loading

In the function estimate_SR_given_weights() for static optimisation of the best set of instruments, there are 3 variables wt, mu, cm used to calculate the portfolio SR with neg_SR().

The formula used to calculate the variance requires the weight and covariance. However, the code seems to use weight (wt) and correlation (cm), instead of covariance.
Sign up for free to join this conversation on GitHub. Already have an account? Sign in to comment
Assignees
No one assigned
Labels
None yet
Projects
None yet
Milestone
No milestone
Development

No branches or pull requests
1 participant
@chuhean