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单词 variance-covariance matrix
释义 variance-covariance matrix

A matrix having as elements the variances and covariances of the returns on assets, the variances comprising the main diagonal running from top left to bottom right of the matrix. It is used in the calculation of portfolio variances in portfolio theory.

See also:

value-at-risk.

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更新时间:2025/2/2 13:07:59