Forecast of realized covariance matrix based on asymptotic distribution of the LU decomposition with an application for balancing minimum variance portfolio
Year of publication: |
2019
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Authors: | Kim, Hee-Soo ; Shin, Dong-wan |
Published in: |
Applied economics letters. - New York, NY : Routledge, ISSN 1466-4291, ZDB-ID 1484783-8. - Vol. 26.2019, 8, p. 661-668
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Subject: | Cholesky decomposition | GHAR | LU decomposition | minimum variance portfolio | portfolio optimization | realized covariance | Portfolio-Management | Portfolio selection | Varianzanalyse | Analysis of variance | Dekompositionsverfahren | Decomposition method | Korrelation | Correlation | Schätztheorie | Estimation theory |
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