publication . Doctoral thesis . 2013

Forecast Correlation Coefficient Matrix of Stock Returns in Portfolio Analysis

Zhao, Feng;
Open Access English
  • Published: 01 Jan 2013
  • Publisher: eScholarship, University of California
  • Country: United States
Abstract
In Modern Portfolio Theory, the correlation coefficients decide the risk of a set of stocks in the portfolio. So, to understand the correlation coefficients between returns of stocks, is a challenge but is very important for the portfolio management. Usually, the stocks with small correlation coefficients or even negative correlation coefficients are preferred. One can calculate the correlation coefficients of stock returns based on the historical stock data. However, in order to control the risk of portfolio, we need to well predict the correlation coefficients of stock returns in the early future.In this thesis, different stock return models, such as Historica...
Subjects
free text keywords: Statistics
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