Search Results - subject:"Minimum Variance portfolio"

Optimal hedging with the cointegrated vector autoregressive model

Johansen, Søren; Gatarek, Lukasz - School of Economics and Management, University of Aarhus - 2014

(CVAR) with general cointegration rank. Our hedge is optimal in the sense of minimum variance portfolio. We consider a model …

Persistent link: https://www.econbiz.de/10010940883

Forecasting comparison of long term component dynamic models for realized covariance matrices

BAUWENS, Luc; BRAIONE, Manuela; STORTI, Giuseppe - Center for Operations Research and Econometrics (CORE), … - 2014

Novel model specifications that include a time-varying long run component in the dynamics of realized covariance matrices are proposed. The adopted modeling framework allows the secular component to enter the model structure either in an additive fashion or as a multiplicative factor, and to be...

Persistent link: https://www.econbiz.de/10011246317

Optimal hedging with the Vector Autoregressive model

Gatarek, Lukasz; Johansen, Søren - 2014

with general cointegration rank. Our hedge is optimal in the sense of minimum variance portfolio. We consider a model that …

Persistent link: https://www.econbiz.de/10010244526

The Smart Beta Indexing Puzzle

Cazalet, Zelia; Grison, Pierre; Roncalli, Thierry - Volkswirtschaftliche Fakultät, … - 2013

In this article, we consider smart beta indexing, which is an alternative to capitalization-weighted (CW) indexing. In particular, we focus on risk-based (RB) indexing, the aim of which is to capture the equity risk premium more effectively. To achieve this, portfolios are built which are more...

Persistent link: https://www.econbiz.de/10011111866

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

In this paper, we use stock price data between the years 2007 and 2010 to investigate the allocation of assets on the GSE. The Classical Markowitz optimization method shows that, the most profitable portfolio is obtained by investing 90% of wealth in non-financial assets and 10% in financial...

Persistent link: https://www.econbiz.de/10011267729

Minimum Variance Portfolio Optimisation under Parameter Uncertainty: A Robust Control Approach

Maillet, Bertrand Bruno; Tokpavi, Sessi; Vaucher, Benoit - EconomiX, Université Paris Ouest-Nanterre la Défense … - 2013

The global minimum variance portfolio computed using the sample covariance matrix is known to be negatively affected by … global minimum variance portfolio due to its strong historical track record but seek a rule that is robust to parameter … uncertainty. Our robust portfolio theoretically corresponds to the global minimum variance portfolio in the worst-case scenario …

Persistent link: https://www.econbiz.de/10010896315

Long-term Verification of Low Volatility Stock Investment

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

We verify the long-term performance of low-volatility stocks in the stock markets around the world. A reliable observation becomes possible on the respective stock markets in the United States from the 1920s, in Japan from the 50s and in other developed countries from the 70s, as we use indices...

Persistent link: https://www.econbiz.de/10010903463

Risk and Return in Japanese Equity Market

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

The market portfolio is often used as a benchmark portfolio. Japanese equity market data however shows that the market portfolio is not efficient and furthermore not profitable. The empirical support for CAPM in the Japanese market is weak. Overall, Japanese investors experienced hard time,...

Persistent link: https://www.econbiz.de/10010832870

Estimation of the global minimum variance portfolio in high dimensions

Bodnar, Taras; Parolya, Nestor; Schmid, Wolfgang - In: European journal of operational research : EJOR 266 (2018) 1, pp. 371-390

Persistent link: https://www.econbiz.de/10011811777

An exact solution to a robust portfolio choice problem with multiple risk measures under ambiguous distribution

Kang, Zhilin; Li, Zhongfei - In: Mathematical methods of operations research 87 (2018) 2, pp. 169-195

Persistent link: https://www.econbiz.de/10011873984