I have a set of daily returns and using these daily returns I calculated the average annual return for each asset and also by using the daily returns I calculated the var-cov matrix. To get optimize portfolios I calculated the daily portfolio risk and multiplied it by the root of 260 to annualize the risk. Is this approach correct or is it more suitable to determine annual returns for a set of years and using those create the var-cov matrix?
2026-03-28 08:08:57.1774685337
Portfolio Optimization Problem: Variance Co-variance matrix
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