Yilmaz, Tolgahan - Volkswirtschaftliche Fakultät, … - 2010
In this paper, the performance of global minimum variance (GMV) portfolios constructed by DCC and DECO-GARCH are … compared to that of GMV portfolios constructed by sample covariance and constant correlation methods in terms of reduced … volatility. Also, the performance of GMV portfolios are tested against that of equally weighted and cap weighted portfolios …