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Problem

Given the PnL series on N investment strategies:

(a) Align them to the average frequency of their bets (e.g., weekly observations for strategies that trade on a weekly basis).

(b) Compute the covariance of their returns, V.

(c) Identify the hierarchical clusters among the N strategies.

(d) Plot the clustered correlation matrix of the N strategies.

Other Engineering, Engineering

  • Category:- Other Engineering
  • Reference No.:- M92765470

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