Eigen-vesting I. Linear Algebra Can Help You Choose Your Stock Portfolio
Correlation is a very fundamental and viseral way of understanding how the stock market works and how strategies perform. Modern portfolio theory has made great progress in tying together stock data with portfolio selection. Today, we’re going to explore how the eigendecomposition of the returns covariance matrix could help you invest. This will be the first post in a series of posts to help you understand how advanced mathematics can fit into investing.