Sentences with phrase «weighted average variance»

Not exact matches

For benchmarks, they consider the value - weighted market portfolio (VW), the equal - weighted market portfolio (EW), the minimum variance portfolio (MVP) and a maximum Sharpe ratio portfolio based on 5 - year moving average actual returns (HIST).

Portfolio variance is calculated by multiplying the squared weight of each security by its corresponding variance and adding two times the weighted average weight multiplied by the covariance of all individual security pairs.

Averaging as many trees as possible will strengthen the common (climate) signal and reduce the noise, therefore improve the reconstruction quality (without some weighted mean statistics, for two trees, each will contribute 1/2 of the variance of a proxy time series — for 8 trees only 1/8 and so on).