Search Results - subject:"Minimum Variance Portfolio"

Dominating Estimators for Minimum-Variance Portfolios

Frahm, Gabriel; Memmel, Christoph - HAL - 2010

In this paper, we derive two shrinkage estimators for minimum-variance portfolios that dominate the traditional estimator with respect to the out-of-sample variance of the portfolio return. The presented results hold for any number of assets and number of observations . The small-sample...

Persistent link: https://www.econbiz.de/10010583454

Understanding the Impact of Weights Constraints in Portfolio Theory

Roncalli, Thierry - Volkswirtschaftliche Fakultät, … - 2010

and Ma (2003). They show that solving the global minimum variance portfolio problem with some constraints on weights is … constraints on the global minimum variance portfolio and the tangency portfolio. We illustrate how imposing lower and upper bounds …

Persistent link: https://www.econbiz.de/10009493275

Dominating estimators for the global minimum variance portfolio

Frahm, Gabriel; Memmel, Christoph - 2009

Two shrinkage estimators for the global minimum variance portfolio that dominate the traditional estimator with respect …

Persistent link: https://www.econbiz.de/10010298777

Dominating estimators for the global minimum variance portfolio

Frahm, Gabriel; Memmel, Christoph - Deutsche Bundesbank - 2009

Two shrinkage estimators for the global minimum variance portfolio that dominate the traditional estimator with respect …

Persistent link: https://www.econbiz.de/10005082766

Global minimum variance portfolio optimisation under some model risk: A robust regression-based approach

Maillet, Bertrand; Tokpavi, Sessi; Vaucher, Benoit - In: European Journal of Operational Research 244 (2015) 1, pp. 289-299

The global minimum variance portfolio computed using the sample covariance matrix is known to be negatively affected by … investors who wish to invest in the global minimum variance portfolio due to its strong historical track record, but seek a rule … portfolio to various competing minimum variance portfolio rules in the literature. We observe that the robust portfolio often …

Persistent link: https://www.econbiz.de/10011209406

Global minimum variance portfolio optimisation under some model risk: A robust regression-based approach

Maillet, Bertrand; Tokpavi, Sessi; Vaucher, Benoit - Université Paris-Dauphine (Paris IX) - 2015

Persistent link: https://www.econbiz.de/10011228180

Hedging demand and supply risks in the newsvendor model

Okyay, H. K.; Karaesmen, Fikri; Özekici, Süleyman - In: OR spectrum : quantitative approaches in management 37 (2015) 2, pp. 475-501

Persistent link: https://www.econbiz.de/10010513270

Constructing optimal sparse portfolios using regularization methods

Fastrich, Björn; Paterlini, Sandra; Winker, Peter - In: Computational Management Science : CMS 12 (2015) 3, pp. 417-434

Persistent link: https://www.econbiz.de/10011285983

A new approach to assessing model risk in high dimensions

Bernard, Carole; Vanduffel, Steven - In: Journal of banking & finance 58 (2015), pp. 166-178

Persistent link: https://www.econbiz.de/10011543968

Strategic asset allocation of credit guarantors

Rhee, Dong-Woo; Kang, Hyoung Goo; Kim, Soo-hyun - In: The journal of applied business research 31 (2015) 5, pp. 1823-1833

Persistent link: https://www.econbiz.de/10011412460