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Jul
20
asked Necessary and sufficient conditions for a matrix to be a valid correlation matrix.
Jul
17
awarded  Necromancer
Jul
4
comment Can I use the geometric mean instead of the arithmetic mean to calculate the covariance between yields of different stocks?
Normally what you are calling "yield" is called price return (in this case, daily price return). Also make sure you're computing the price of the later day minus the prior day, not vice versa (that is, subtracting 1 after dividing is equivalent to subtracting the prices, then normalizing to the prior day's price).
Jun
8
awarded  Caucus
May
11
comment Does a random action have probability?
Probability is in the mind!
May
7
revised Math Database For Problem Descriptions In An App.
edited body
May
7
revised Selecting numbers on a number line where distribution tends to cluster at one end.
added 691 characters in body
May
7
answered Selecting numbers on a number line where distribution tends to cluster at one end.
Apr
29
comment Probability and Axiom of Choice
Cox's Theorem prevents you from distributing "indifference" among infinitely many things. That's not a state of knowledge one can possibly have, and probability is in the mind
Apr
29
comment Probability and Axiom of Choice
You should read this paper and the Freiling paper mentioned in it.
Apr
25
comment Fourier transform probability distribution
It does seem from Box-Muller that you'd be computing a weighted combination of normal components, and so the result ought to be normal.
Apr
24
comment Undergrad Student Trying to Figure Out What to Study
Of course you should give weight to your preferences. I am merely suggesting that most people give too much weight to what they currently enjoy doing, and not enough weight to the real externalities involved. Obviously, do not do something you don't enjoy. But surely most people enjoy more than one thing. I mostly think that when someone says, "I do what I love", they haven't thought about it very much. Surely you don't love just one vocation. It's a fallacy that is unique to high standard-of-living countries that we teach our young to focus almost exclusively on imagined preferences.
Apr
23
answered Undergrad Student Trying to Figure Out What to Study
Apr
22
comment Weird conclusion about variance/covariance from differentiating
In the sense that it minimized portfolio volatility.
Apr
22
revised Cluster Analysis Terminology question
edited body
Apr
21
comment Cluster Analysis Terminology question
In the applied machine learning literature, 'hypergraph' is the appropriate term for most applications, and it is meant in the full mathematical sense. You see that in everything from stats papers to computer vision to social networks. See my answer below.
Apr
21
answered Cluster Analysis Terminology question
Apr
21
answered Solving $Ax = B$ when $A$ has a large condition number.
Apr
21
answered Weird conclusion about variance/covariance from differentiating
Apr
21
comment Weird conclusion about variance/covariance from differentiating
I think something is being lost in translation in the OP. The question should be asking: suppose $a$ is chosen to optimize portfolio risk between $X$ and $Y$, and is chosen such that $\text{COV}(X,Y) = a\text{Var}(X)$. Then show that $a$ must be 1.