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 ...

Covariance is a statistical measure of how two assets move in relation to each other. It provides diversification and reduces the overall volatility of a portfolio. A positive covariance indicates ...

Antonov’s latest paper, co-authored with Lopez de Prado and Adia’s co-head of quant R&D Alexander Lipton, compares HRP with the original Markowitz method and finds that it produces more robust risk ...

Similarly, the value of one security may rise when another rises. Covariance calculations are also used in modern portfolio theory (MPT). If two stocks have share prices with a positive covariance ...

Covariance matrix: A matrix that describes the variance and covariance between multiple variables, indicating how much the variables change together. Power of a test: The probability that the test ...