Learn how to calculate Value at Risk (VaR) to effectively assess financial risks in portfolios, using historical, variance-covariance, and Monte Carlo methods.

Find out what portfolio variance is, the formula to calculate portfolio variance, and how to calculate the variance of a portfolio containing two assets.

The COV= option must be specified to compute an approximate covariance matrix for the parameter estimates under asymptotic theory for least-squares, maximum-likelihood, or Bayesian estimation, with or ...

Optimality of the Sample Variance-Covariance Matrix in Repeated Measurement Designs J. Kleffe and J. Volaufová Sankhyā: The Indian Journal of Statistics, Series A (1961-2002) , pp. 90-99 (10 pages) ...

Alternatively, you can directly specify the matrix A to find the D-optimal design when A is the variance-covariance matrix for the runs. You can specify the data set containing the covariance matrix ...

A symbolic formula is given for the square-root-free Cholesky decomposition of the variance-covariance matrix of the multinomial distribution. The evaluation of the symbolic Cholesky factors requires ...

This paper proposes a novel shrinkage estimator for high-dimensional covariance matrices by extending the Oracle Approximating Shrinkage (OAS) of Chen et al. (2009) to target the diagonal elements of ...

In addition, the method automatically provides a variance–covariance matrix for the estimated QTL effects. This covariance matrix is required to construct a W-test statistic.