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On portfolio optimization : forecasting covariances and choosing the risk model
Chan, Louis K. C.; Karceski, Jason; Lakonishok, Josef - In: The review of financial studies 12 (1999) 5, pp. 937-974
Persistent link: https://www.econbiz.de/10001434627
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Weighted least squares realized covariation estimation
Li, Yifan; Nolte, Ingmar; Vasios, Michalis; Voev, Valeri; … - In: Journal of banking & finance 137 (2022), pp. 1-21
Persistent link: https://www.econbiz.de/10013460187
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Industry variance risk premium, cross-industry correlation, and expected returns
Zhu, Yabei; Luo, Xingguo; Xu, Qi - In: The journal of futures markets 43 (2023) 1, pp. 3-32
Persistent link: https://www.econbiz.de/10013465888