Covariance matrix

[kaattiiex]

Hi, when i try and apply the array formula to the matrix it doesn't work... it doesn't fill it like yours! even though i copy you step by step...

I press ctrl shift enter and brackets surround the formula but it doesn't fill the cells... any advice?

[godseeker11]

excellent , thank you

[RDXRD]

Hello David,

Correlation is unit less. any reason to represent as %?

thanks

[bionicturtledotcom]

@RDXRD my mistake, i agree: correlation is unitless and should not really have %. thanks for spotting that!

[csmd2011]

Hello. I have a question but it's too long to post. May I send you a msg?

[sdytfx]

very very help!!!

[bvoorhees]

If you have a matrix of variances instead of standard errors (call it matrix D), can you multiply D by C (as opposed to DCD) to get the VCM? Thanks

[elenafv]

What's the name of the book, that you mentioned in the video?

[oliolion]

chur, never thought of using youtube to help me study before, very usefull!

[coolbivek]

David, thats was very helpful. Thank you.

[nevemindIceland]

Thank you, finally I got it. :-)

[kuhan1870]

thanks for posting

[msmonlinesaadi]

Very Very Accurate info i require

Thanks..

[windmillguy]

thanks alot, very useful material for understanding my finance exercises

[pablitos99]

Your stats and finance videos are really clear, concise, and extremely easy to understand. Thank you.

[sergo1989]

hi david, i disagree on the your order. because you can not have correlation matrix before covariance matrix. correlation matrix is found from covariance matrix. if i'm wrong, please explain to me how did you find correlations before variance-covariance?

[bionicturtledotcom]

I agree with you, correlations are function of covariance, not vice versa. But here, it is simply a practical idea: bivariate correlations inform an n-asset covariance matrix. Where did this asset correlations come? As you say, from bivariate covariances. So, the correlations-as-inputs do come from covariances...the exercise is only meant to show the MATRIX equivalent of the bivariate COV= COR*vol*vol ...

[sergo1989]

Agree, thanks

[whirmark]

@sergo1989 In fact the variances (D) could be derived by direct measurement upon securities and the correlation matrix (C) could be derived/implied from a factor-model, so that covariance is calculated as above frequently in practice for portfolio optimization.

[geiko187]

thanks david, very cool, love your videos - huge help

[Kucox]

Thanks honestly, I'm gonna use this for my portfolio management classes.

[dayflynn]

thanks a lot, really easy to understand. thanks and thanks again and again.

[Riverdale270]

And again a very nice video... I'm giving you a big thanks in the foreword of my masterthesis on portfolio optimization!