Search Results - subject:"Mean–variance efficiency"

Robust inference in the capital asset pricing model using the multivariate t-distribution

Galea, Manuel; Cademártori Rosso, David; Curci, Roberto; … - In: Journal of Risk and Financial Management 13 (2020) 6, pp. 1-22

order to test the mean-variance efficiency, explicit expressions for these four statistical tests are also presented. The …

Persistent link: https://www.econbiz.de/10012611352

Risk reduction and efficiency increase in large portfolios : leverage and shrinkage

Zhao, Zhao; Ledoit, Olivier; Jiang, Hui - 2020 - Revised version

We investigate the effects of constraining leverage and shrinking covariance matrix in constructing large portfolios, both theoretically and empirically. Considering a wide variety of setups that involve conditioning or not conditioning the covariance matrix estimator on the recent past...

Persistent link: https://www.econbiz.de/10012154193

Robust inference in the capital asset pricing model using the multivariate t-distribution

Galea, Manuel; Cademártori Rosso, David; Curci, Roberto; … - In: Journal of risk and financial management : JRFM 13 (2020) 6/123, pp. 1-22

order to test the mean-variance efficiency, explicit expressions for these four statistical tests are also presented. The …

Persistent link: https://www.econbiz.de/10012309041

Risk reduction and efficiency increase in large portfolios: Leverage and shrinkage

Zhao, Zhao; Ledoit, Olivier; Jiang, Hui - 2019

Two basic solutions have been proposed to fix the well-documented incompatibility of the sample covariance matrix with Markowitz mean-variance portfolio optimization: first, restrict leverage so much that no short sales are allowed; or, second, linearly shrink the sample covariance matrix towards...

Persistent link: https://www.econbiz.de/10012040364

Risk reduction and efficiency increase in large portfolios : leverage and shrinkage

Zhao, Zhao; Ledoit, Olivier; Jiang, Hui - 2019

Persistent link: https://www.econbiz.de/10012030060

Markowitz portfolios under transaction costs

Ledoit, Olivier; Wolf, Michael - 2022

Markowitz portfolio selection is a cornerstone in finance, both in academia and in the industry. Most academic studies either ignore transaction costs or account for them in a way that is both unrealistic and suboptimal by (i) assuming transaction costs to be constant across stocks and (ii)...

Persistent link: https://www.econbiz.de/10013440073

Risk optimizations on basis portfolios : the role of sorting

Fays, Boris; Papageorgiou, Nicolas A.; Lambert, Marie - In: Journal of empirical finance 63 (2021), pp. 136-163

Persistent link: https://www.econbiz.de/10013258989

Testing alphas in conditional time-varying factor models with high-dimensional assets

Ma, Shujie; Lan, Wei; Su, Liangjun; Tsai, Chih-Ling - In: Journal of business & economic statistics : JBES ; a … 38 (2020) 1, pp. 214-227

Persistent link: https://www.econbiz.de/10012179549

Is the Market Portfolio Efficient? A New Test of Mean-Variance Efficiency when all Assets are Risky

Szafarz, Ariane; Oosterlinck, Kim; Mignon, Valérie; … - Université Paris-Dauphine (Paris IX) - 2013

The market portfolio efficiency remains controversial. This paper develops a new test of portfolio mean-variance … portfolio from the efficient frontier. Monte Carlo simulations show that our test outperforms the previous mean-variance … efficiency relying on the realistic assumption that all assets are risky. The test is based on the vertical distance of a …

Persistent link: https://www.econbiz.de/10011166426

COMPARATIVE YIELD RISK CALCULATIONS OF SOUR CHERRY AND PEAR VARIETIES REGARDING RISK AVERSION

Persely, Szilvia; Ertsey, Imre; Ladanyi, Marta - In: APSTRACT: Applied Studies in Agribusiness and Commerce 06 (2012)

Fruit production in the world is increasing continuously. Though in the past few years China and some South-American countries have extended their fruit producing areas, Europe remains to be one of the greatest fruit producers in the world. In the middle of Europe Hungary has to face several...

Persistent link: https://www.econbiz.de/10011149596