Exponential smoothing of realized portfolio weights
Year of publication: |
2019
|
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Authors: | Golosnoy, Vasyl ; Gribisch, Bastian ; Seifert, Miriam |
Published in: |
Journal of empirical finance. - Amsterdam [u.a.] : Elsevier, ISSN 0927-5398, ZDB-ID 1158263-7. - Vol. 53.2019, p. 222-237
|
Subject: | Forecast combination | Minimum variance portfolio | Realized covariance matrix | Variance change | Theorie | Theory | Portfolio-Management | Portfolio selection | Varianzanalyse | Analysis of variance | Prognoseverfahren | Forecasting model | Zeitreihenanalyse | Time series analysis | Korrelation | Correlation |
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