Week 3 — Covariance, correlation, and risk

Milestone

Build covariance/correlation risk toolkit and basic portfolio risk analytics.

Success criteria

Can compute and visualize a correlation matrix for 4 assets and calculate portfolio volatility for a given weight vector.

Deliverables

• [ ] Solve exercises on covariance and correlation.
• [ ] Implement covariance matrix.
• [ ] Implement correlation matrix.
• [ ] Visualize rolling correlation.
• [ ] Create simple portfolio volatility calculator.

Books

• Schaum's Outline of Probability and Statistics — Exercises for probability, statistics, distributions, covariance, regression.
• Schaum's Outline of Linear Algebra — Exercises for vectors, matrices, eigenvalues, least squares, PCA foundations.

Retrospective

Fill this in during the Sunday review.

What did I finish?

What is blocked?

What confused me?

Key takeaway this week: