Time-varying minimum variance portfolio
Qingliang Fan, Ruike Wu, Yanrong Yang, Wei Zhong
| Year of publication: |
2024
|
|---|---|
| Authors: | Fan, Qingliang ; Wu, Ruike ; Yang, Yanrong ; Zhong, Wei |
| Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ZDB-ID 1460617-3. - Vol. 239.2024, 2, Art.-No. 105339, p. 1-16
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| Subject: | Dynamic covariance | Flexible rebalancing | Large portfolio | Minimum variance portfolio | Sharp risk consistency | Shrinkage estimation | Portfolio-Management | Portfolio selection | Varianzanalyse | Analysis of variance | Schätztheorie | Estimation theory | Volatilität | Volatility | Korrelation | Correlation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jeconom.2022.08.007 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015074503