The estimated covariance matrix of the parameter estimates is computed as the inverse Hessian matrix, and for unconstrained problems it should be positive definite. If the final parameter estimates ...

where nused is the number of non-missing observations and np is the number of estimable parameters. The standard error reported for the parameters is the sqrt of the ...

Alexandre Antonov, Alexander Lipton and Marcos Lopez de Prado compare and contrast two portfolio allocation methods: the classical Markowitz approach and the hierarchical risk parity (HRP) approach.