Taking Out the Outliers II

Taking Out the Outliers II

by | Jan 24, 2012 | 0 comments

This is a follow-up to my previous post in which I described Rousseeuw’s FastMCD algorithm for using the minimum covariance determinant approach to calculating a robust covariance matrix. I want to use the example from that post (the relationship between the...
Taking Out the Outliers

Taking Out the Outliers

by | Jan 18, 2012 | 2 comments

If you do anything that depends upon correlation, you owe it to yourself to be aware of outliers and how to deal with them. For example, a mean-variance optimized portfolio using Modern Portfolio Theory or the Black Litterman model is critically dependent upon, and...