Search Results - subject:"Minimum Variance portfolio"

Newsvendor model with random supply and financial hedging : utility-based appraoch

Sayın, F.; Karaesmen, Fikri; Özekici, S. - In: International journal of production economics 154 (2014), pp. 178-189

Persistent link: https://www.econbiz.de/10010386358

Robust minimum variance portfolio with L-infinity constraints

Xing, Xin; Hu, Jinjin; Yang, Yaning - In: Journal of banking & finance 46 (2014), pp. 107-117

Persistent link: https://www.econbiz.de/10010467839

Markowitz efficiency and size effect : evidence from the UK stock market

Hwang, Tienyu; Gao, Simon S.; Owen, Heather - In: Review of quantitative finance and accounting 43 (2014) 4, pp. 721-750

Persistent link: https://www.econbiz.de/10010490996

Linear statistical inference for global and local minimum variance portfolios

Frahm, Gabriel - 2007

reduced. But in many practical situations an investor is not willing to choose the global minimum variance portfolio … minimum variance portfolio'. Some finite sample hypothesis tests for global and local minimum variance portfolios are … variance portfolio has been advocated by many authors as an appropriate alternative to the traditional Markowitz approach since …

Persistent link: https://www.econbiz.de/10010298430

Linear statistical inference for global and local minimum variance portfolios

Frahm, Gabriel - Seminar für Wirtschafts- und Sozialstatistik, … - 2007

Persistent link: https://www.econbiz.de/10009019651

Composition of robust equity portfolios

Kim, Jang Ho; Kim, Woo Chang; Fabozzi, Frank J. - In: Finance Research Letters 10 (2013) 2, pp. 72-81

Robust portfolios resolve the sensitivity issue identified as a concern in implementing mean–variance analysis. Because robust approaches are not widely used in practice due to a limited understanding regarding the portfolios constructed from these methods, we present an analysis of the...

Persistent link: https://www.econbiz.de/10010679285

Long-term verification of low volatility stock investment

Yamada, Toru - In: Public policy review 9 (2013) 3, pp. 553-574

Persistent link: https://www.econbiz.de/10010190441

Risk and return in Japanese equity market

Honda, Toshiki - In: Public policy review 9 (2013) 3, pp. 515-530

Persistent link: https://www.econbiz.de/10010190444

Allocation of assets on the Ghana stock exchange (GSE)

Mensah, Lord; Avuglah, R. K.; Dedu, Vincent - In: International journal of financial research 4 (2013) 2, pp. 108-114

Persistent link: https://www.econbiz.de/10010205108

On the estimation of the global minimum variance portfolio

Kempf, Alexander; Memmel, Christoph - 2005

global minimum variance portfolio. The weights of this portfolio depend only on the return variances and covariances, but not … on the expected returns. The weights of the global minimum variance portfolio are usually estimated by replacing the true …

Persistent link: https://www.econbiz.de/10010308682