A stochastic correlation approach using copula functions offers a flexible alternative. By allowing correlations to vary ...

For a symmetric correlation matrix, the Inverse Correlation Matrix table contains the inverse of the correlation matrix, as shown in Figure 40.14. The diagonal elements of the inverse correlation ...

We begin with a review of the univariate ACE model, and then extend this to two phenotypes as a Cholesky model, introducing the concept of genetic correlation along the way.

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 ...