The concept of correlations between different assets is a cornerstone of Markowitz's optimal portfolio theory, especially for risk management purposes (Markowitz 1968). In a nutshell, correlations ...

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 ...

When it comes to constructing an investment portfolio, “negative correlation” is something of a holy grail. Diversification, investors are told, is about combining assets that behave differently. You ...

X ij = [x ij1, ... , x ijp]' The Generalized Estimating Equation of Liang and Zeger (1986) for estimating the p ×1 vector of regression parameters is an extension of the independence estimating ...