Consider the following covariance matrix: (a) Is this positive definite? (b) What is the meaning of a
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(a) Is this positive definite?
(b) What is the meaning of a unit correlation coefficient?
(c) Can we come up with a vector of positions that will create zero risk?
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Related Book For
Value at Risk The New Benchmark for Managing Financial Risk
ISBN: 978-0071464956
3rd edition
Authors: Philippe Jorion
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