Harry Markowitz famously quipped that diversification is the only free lunch in investing. What he did not say is that this is only true if correlations are known and stable over time. Markowitz’s ...
The Canadian Journal of Statistics / La Revue Canadienne de Statistique, Vol. 6, No. 1 (1978), pp. 49-56 (8 pages) An asymptotic expansion is given for the distribution of the α-th largest latent root ...
It is well known that the correlation matrix has a central role in the analysis of multivariate data. The inverse of the correlation matrix, however, also has important interpretations. An exposition ...
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