1   Select Time Series, Start Date and End Date
                                    Asset Class
2   Analysis and Output Data
Function: QM         Time Series:         Window Function:         Covariance Matrix:
© 2012 Maraging Research

Bregman Divergences

The function type is one of four typical Bregman Divergences. The Mahalanobis distance is the covariance modified return. The Burg is the changes in the covariance matrix. The Kullback-Leibler measures the evolution of both drift and covariance. The Von Neumann is an quantised entropic measure.