Completing a Correlation Matrix: Another Problem from Finance
The previous post of this series on mathematical problems related to correlation matrices introduced the nearest correlation matrix problem1, which consists...
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Covariance Matrix Forecasting: Average Oracle Method
Continuing this series on covariance matrix forecasting (c.f. here and there for the previous posts), I will now describe a relatively recent1 data-driven, ...
Value at Risk: Univariate Estimation Methods
Value-at-Risk (VaR) is one of the most commonly used risk measures in the financial industry1 in part thanks to its simplicity - because VaR reduces the mark...
Supervised Portfolios: A Supervised Machine Learning Approach to Portfolio Optimization
Standard portfolio allocation algorithms like Markowitz mean-variance optimization or Choueffati diversification ratio optimization usually take in input as...
Correlation-Based Clustering: Spectral Clustering Methods
Clustering consists in trying to identify groups of “similar behavior”1 - called clusters - from a dataset, according to some chosen characteristics. An exa...