Search Results - subject:"Global minimum-variance portfolio" - EconBiz

Sparse portfolio selection via topological data analysis based clustering

Goel, Anubha; Filipović, Damir; Pasricha, Puneet - 2024

Persistent link: https://www.econbiz.de/10014485759

Limiting out-of-sample performance of optimal unconstrained portfolios

Chávez-Bedoya, Luis; Birge, John R. - In: Finance research letters 67 (2024) 2, pp. 1-15

Persistent link: https://www.econbiz.de/10015062578

News co-occurrences, stock return correlations, and portfolio construction implications

Tang, Yi; Zhou, Yilu; Hong, Marshall - In: Journal of Risk and Financial Management 12 (2019) 1, pp. 1-21

In this paper, we construct a sample of news co-occurrences using big data technologies. We show that stocks that co-occur in news articles are less risky, bigger, and more covered by financial analysts, and economically-connected stocks are mentioned more often in the same news articles. We...

Persistent link: https://www.econbiz.de/10012611153

News co-occurrences, stock return correlations, and portfolio construction implications

Tang, Yi; Zhou, Yilu; Hong, Marshall - In: Journal of risk and financial management : JRFM 12 (2019) 1/45, pp. 1-21

In this paper, we construct a sample of news co-occurrences using big data technologies. We show that stocks that co-occur in news articles are less risky, bigger, and more covered by financial analysts, and economically-connected stocks are mentioned more often in the same news articles. We...

Persistent link: https://www.econbiz.de/10012022291

Interdependence, contagion and speculative bubbles in cryptocurrency markets

Bazán-Palomino, Walter - In: Finance research letters 49 (2022), pp. 1-8

Persistent link: https://www.econbiz.de/10013479574

Should (co)jump variation be included in asset allocation?

Chen, Zirong; Lin, Haonan; Zheng, Xu - In: Applied economics letters 29 (2022) 20, pp. 1868-1875

Persistent link: https://www.econbiz.de/10013412321

Stepwise expanding the frontier one asset at a time

Chiu, Wan-Yi - In: Finance research letters 46 (2022) 1, pp. 1-11

Persistent link: https://www.econbiz.de/10013341338

Orthogonal portfolios to assess estimation risk

Chávez-Bedoya, Luis; Rosales, Francisco - In: International review of economics & finance : IREF 80 (2022), pp. 906-937

Persistent link: https://www.econbiz.de/10013342794

A Bayesian graphical approach for large-scale portfolio management with fewer historical data

Oya, Sakae - In: Asia Pacific financial markets 29 (2022) 3, pp. 507-526

Persistent link: https://www.econbiz.de/10013397655

Reduction of estimation risk in optimal portfolio choice using redundant constraints

Chávez-Bedoya, Luis; Rosales, Francisco - In: International review of financial analysis 78 (2021), pp. 1-21

Persistent link: https://www.econbiz.de/10013255695

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