top | item 45941095 (no title) conformist | 3 months ago Yeah and this is a much more intuitive way of generalising from the n = 2 case. Weights are proportional to inverse variance even for n > 2. Importantly this assumes independence so it doesn’t translate to portfolio optimisation very easily. discuss order hn newest rhymer|3 months ago Right, this is known as the inverse variance weighting https://en.wikipedia.org/wiki/Inverse-variance_weighting.
rhymer|3 months ago Right, this is known as the inverse variance weighting https://en.wikipedia.org/wiki/Inverse-variance_weighting.
rhymer|3 months ago