The co-variance matrix
You can easily compute the co-variance matrix of a DataFrame of returns using the .cov() method.
The correlation matrix doesn't really tell you anything about the variance of the underlying assets, only the linear relationships between assets. The co-variance (a.k.a. variance-covariance) matrix, on the other hand, contains all of this information, and is very useful for portfolio optimization and risk management purposes.
Diese Übung ist Teil des Kurses
Introduction to Portfolio Risk Management in Python
Anleitung zur Übung
- Calculate the co-variance matrix of the
StockReturnsDataFrame. - Annualize the co-variance matrix by multiplying it with 252, the number of trading days in a year.
Interaktive Übung zum Anfassen
Probieren Sie diese Übung aus, indem Sie diesen Beispielcode ausführen.
# Calculate the covariance matrix
cov_mat = StockReturns.____
# Annualize the co-variance matrix
cov_mat_annual = ____
# Print the annualized co-variance matrix
____