covarianceCovariance (Econ) Hiệp phương sai.
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Bloomberg Financial Glossary协方差协方差A statistical measure of the degree to which random variables move together. A positive covariance implies that one variable is above (below) its mean value when the other variable is above (below) its mean value.
Investopedia Financial Terms
A measure of the degree to which returns on two risky assets move in tandem. A positive covariance means that asset returns move together. A negative covariance means returnsmove inversely.One method of calculating covariance is by looking at return surprises (deviations from expected return) in each scenario. Another method is to multiply the correlation between the two variables by the standard deviation of each variable.
Possessing financial assets thatprovide returns andhave a high covariance with each other willnot provide very much diversification.For example, if stock A"s returnis highwhenever stock B"sreturn is high and the samecan be said for low returns, then these stocks are said tohave a positive covariance.If an investor wants a portfolio whose assets have diversified earnings, he or sheshould pick financial assets that have low covariance to each other.
AutocorrelationCorrelationDiversificationHeteroskedasticityModern Portfolio Theory - MPTNormal DistributionStandard DeviationStatistically SignificantTail Risk