Learn more about covariance and how financial planners and economists use the concept. Explore an example of covariance in the stock market.

Understand how covariance is related to the risk and return of a portfolio of stocks and learn how it's used to maximize diversification and reduce volatility.

We model a covariance matrix in terms of its corresponding standard deviations and correlation matrix. We discuss two general modeling situations where this approach is useful: shrinkage estimation of ...

Explaining Covariance Having gone through that fairly detailed explanation of correlation, it will be much quicker and easier to get through covariance.

Order-statistics models may be used to estimate rank covariances, and the choice between the various models is determined by general considerations such as maximum entropy and/or the symmetry of the ...

This paper presents a stochastic optimization framework for integrating time-varying factor covariance models in a risk-based portfolio optimization setting.

The estimated covariance matrix of the parameter estimates is computed as the inverse Hessian matrix, and for unconstrained problems it should be positive definite. If the final parameter estimates ...