Risk-based portfolios with large dynamic covariance matrices
Year of publication: |
June 2018
|
---|---|
Authors: | Nakagawa, Kei ; Imamura, Mitsuyoshi ; Yoshida, Kenichi |
Published in: |
International Journal of Financial Studies : open access journal. - Basel : MDPI, ISSN 2227-7072, ZDB-ID 2704235-2. - Vol. 6.2018, 2, p. 1-14
|
Subject: | (c)DCC-GARCH | nonlinear shrinkage | minimum variance | risk parity | maximum diversification | Portfolio-Management | Portfolio selection | Korrelation | Correlation | Varianzanalyse | Analysis of variance | Volatilität | Volatility | Diversifikation | Diversification | Risiko | Risk | Schätztheorie | Estimation theory |
Type of publication: | Article |
---|---|
Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
Language: | English |
Other identifiers: | 10.3390/ijfs6020052 [DOI] hdl:10419/195707 [Handle] |
Classification: | C13 - Estimation ; C32 - Time-Series Models ; G11 - Portfolio Choice |
Source: | ECONIS - Online Catalogue of the ZBW |
-
Risk-based portfolios with large dynamic covariance matrices
Nakagawa, Kei, (2018)
-
Jump Robust Daily Covariance Estimation by Disentangling Variance and Correlation Components
Boudt, Kris, (2012)
-
Large dynamic covariance matrices: enhancements based on intraday data
De Nard, Gianluca, (2022)
- More ...
-
Risk-based portfolios with large dynamic covariance matrices
Nakagawa, Kei, (2018)
-
Yoshida, Kenichi, (2024)
-
Do local government sustainability initiatives impact corporate social sustainability practices?
Ida, Atsuhiro, (2024)
- More ...