Predicting the global minimum variance portfolio
Year of publication: |
2023
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Authors: | Reh, Laura ; Krüger, Fabian ; Liesenfeld, Roman |
Published in: |
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association. - Abingdon : Taylor & Francis, ISSN 1537-2707, ZDB-ID 2043744-4. - Vol. 41.2023, 2, p. 440-452
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Subject: | Consistent loss function | Elicitability | Forecasting | Generalized autoregressive score | Recursive least squares | Shrinkage | Schätztheorie | Estimation theory | Prognoseverfahren | Forecasting model | Portfolio-Management | Portfolio selection | Kleinste-Quadrate-Methode | Least squares method |
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