Search Results - subject:"Minimum Variance Portfolio"

Beating the market index

Azar, Samih Antoine - In: The empirical economics letters : a monthly … 17 (2018) 12, pp. 1433-1440

Persistent link: https://www.econbiz.de/10012006975

Estimation risk for the VaR of portfolios driven by semi-parametric multivariate models

Francq, Christian; Zakoïan, Jean-Michel - In: Journal of econometrics 205 (2018) 2, pp. 381-401

Persistent link: https://www.econbiz.de/10012110307

A nonparametric eigenvalue-regularized integrated covariance matrix estimator for asset return data

Lam, Clifford; Feng, Phoenix - In: Journal of econometrics 206 (2018) 1, pp. 226-257

Persistent link: https://www.econbiz.de/10012110378

A generalized CAPM model with asymmetric power distributed errors with an application to portfolio construction

Te, Bao; Diks, Cees G. H.; Li, Hao - In: Economic modelling 68 (2018), pp. 611-621

Persistent link: https://www.econbiz.de/10011936164

Understanding the outperformance of the minimum variance portfolio

Bednarek, Ziemowit; Patel, Pratish - In: Finance research letters 24 (2018), pp. 175-178

Persistent link: https://www.econbiz.de/10011982564

Robust Portfolio Allocation with Systematic Risk Contribution Restrictions

Darolles, Serge; Gouriéroux, Christian; Jay, Emmanuelle - Centre de Recherche en Économie et Statistique … - 2012

The standard mean-variance approach can imply extreme weights in some assets in the optimal allocation and a lack of stability of this allocation over time. To improve the robustness of the portfolio allocation, but also to better control for the portfolio turnover and the sensitivity of the...

Persistent link: https://www.econbiz.de/10010660008

Minimum variance portfolios in the German stock market

Bastin, Jan - In: Prague economic papers : a bimonthly journal of … 26 (2017) 1, pp. 103-120

Persistent link: https://www.econbiz.de/10011622178

Bayesian estimation of the global minimum variance portfolio

Bodnar, Taras; Mazur, Stepan; Okhrin, Yarema - In: European journal of operational research : EJOR 256 (2017) 1, pp. 292-307

Persistent link: https://www.econbiz.de/10011611271

Portfolio selections under mean-variance preference with multiple priors for means and variances

Shigeta, Yuki - In: Annals of finance 13 (2017) 1, pp. 97-124

Persistent link: https://www.econbiz.de/10011944967

On portfolio optimization : Forecasting asset covariances and variances based on multi-scale risk models

Berger, Theo; Fieberg, Christian - In: The Journal of Risk Finance 17 (2016) 3, pp. 295-309

variance portfolio selection. Finally, the portfolios are evaluated by their out-of-sample performance. Findings The authors … authors apply various (multi-scale) factor models to determine variance-covariance matrices which are used for minimum …

Persistent link: https://www.econbiz.de/10014902063