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  • Search: subject:"Minimum variance"
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Year of publication
Subject
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Portfolio-Management 140 Portfolio selection 139 Theorie 90 Theory 88 Varianzanalyse 66 Analysis of variance 65 Hedging 51 Volatility 51 Volatilität 51 Schätztheorie 49 Estimation theory 47 Minimum variance portfolio 36 Correlation 34 Korrelation 34 ARCH model 28 ARCH-Modell 28 minimum variance portfolio 28 Capital income 26 Kapitaleinkommen 26 Minimum variance 24 Risikomanagement 23 Risk management 23 CAPM 21 Derivat 17 Derivative 17 Risikomaß 17 Risk measure 17 minimum variance 17 Forecasting model 16 Minimum-variance portfolio 16 Prognoseverfahren 16 Portfolio optimization 14 Risiko 14 Risk 14 Global minimum variance portfolio 13 Anlageverhalten 12 Behavioural finance 12 Time series analysis 11 Zeitreihenanalyse 11 Diversification 10
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Online availability
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Undetermined 138 Free 101 CC license 7
Type of publication
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Article 221 Book / Working Paper 64
Type of publication (narrower categories)
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Article in journal 151 Aufsatz in Zeitschrift 151 Working Paper 21 Article 16 Arbeitspapier 12 Graue Literatur 12 Non-commercial literature 12 Aufsatz im Buch 2 Book section 2 Conference paper 2 Konferenzbeitrag 2 research-article 2 Aufsatzsammlung 1
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Language
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English 213 Undetermined 69 Portuguese 3
Author
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Frahm, Gabriel 11 Memmel, Christoph 9 Alexander, Carol 8 Bodnar, Taras 5 Gatarek, Lukasz 5 Johansen, Søren 5 Tokpavi, Sessi 5 Chiu, Wan-Yi 4 Dark, Jonathan 4 Hotta, Luiz K. 4 Nugroho, Bayu Adi 4 Paterlini, Sandra 4 Prokopczuk, Marcel 4 Roncalli, Thierry 4 Santos, André A. P. 4 Trucíos, Carlos 4 Vaucher, Benoit 4 Yamada, Yuji 4 Zevallos, Mauricio 4 Barbosa, Andreza 3 Chávez-Bedoya, Luis 3 Feldkircher, Martin 3 Golosnoy, Vasyl 3 Gruber, Thomas 3 Huber, Florian 3 Karaesmen, Fikri 3 Kempf, Alexander 3 Maillet, Bertrand 3 Sumawong, Anannit 3 Ajaraogu, Jude C. 2 Ali, Kareem A. 2 An, Yunbi 2 Assar, Salwa M. 2 Auer, Benjamin R. 2 Avuglah, R. K. 2 Badescu, Alexandru 2 Baele, Lieven 2 Bauwens, Luc 2 Berger, Theo 2 Bernard, Carole 2
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Institution
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Henley Business School, University of Reading 5 Department of Econometrics and Business Statistics, Monash Business School 3 Seminar für Wirtschafts- und Sozialstatistik, Wirtschafts- und Sozialwissenschaftliche Fakultät 3 Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 3 Départment d'économétrie et d'économie politique (DEEP), Faculté des Hautes Études Commerciales (HEC) 2 EconWPA 2 HAL 2 Université Paris-Dauphine (Paris IX) 2 C.E.P.R. Discussion Papers 1 Center for Operations Research and Econometrics (CORE), École des Sciences Économiques de Louvain 1 Centre d'Études et de Recherches sur le Développement International (CERDI), École d'Économie 1 Centre de Recherche en Économie et Droit de l'Énergie, Faculté de sciences économiques 1 Centre de Recherche en Économie et Statistique (CREST), Groupe des Écoles Nationales d'Économie et Statistique (GENES) 1 Cowles Foundation for Research in Economics, Yale University 1 Departamento Académico de Economía, Universidad del Pacífico 1 Department Volkswirtschaftlehre, Universität Bern 1 Deutsche Bundesbank 1 EconomiX, Université Paris Ouest-Nanterre la Défense (Paris X) 1 Erasmus University Rotterdam, Econometric Institute 1 Faculteit der Economische Wetenschappen, Erasmus Universiteit Rotterdam 1 Institut für Finanzmarktforschung, Wirtschafts- und Sozialwissenschaftliche Fakultät 1 School of Economics and Management, University of Aarhus 1 Swiss Finance Institute 1 Tinbergen Instituut 1 Université Paris-Dauphine 1 Økonomisk Institut, Københavns Universitet 1
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Published in...
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Finance research letters 8 Journal of econometrics 7 Economic modelling 6 Journal of banking & finance 6 Journal of empirical finance 6 ICMA Centre Discussion Papers in Finance 5 Metrika 5 Annals of the Institute of Statistical Mathematics 4 Energy economics 4 European journal of operational research : EJOR 4 Journal of asset management 4 Quantitative finance 4 The European journal of finance 4 Computational Management Science : CMS 3 Discussion Papers in Econometrics and Statistics 3 Discussion Papers in Statistics and Econometrics 3 Journal of Risk and Financial Management 3 Journal of business & economic statistics : JBES ; a publication of the American Statistical Association 3 Journal of financial econometrics 3 Journal of risk and financial management : JRFM 3 MPRA Paper 3 Monash Econometrics and Business Statistics Working Papers 3 Revista Brasileira de Finanças : RBFin 3 Statistics in transition : an international journal of the Polish Statistical Association and Statistics Poland 3 TEST: An Official Journal of the Spanish Society of Statistics and Operations Research 3 The empirical economics letters : a monthly international journal of economics 3 Accounting Research Journal 2 Annals of finance 2 Applied economics letters 2 Asia-Pacific Financial Markets 2 CBN Journal of Applied Statistics 2 CBN journal of applied statistics 2 Cahiers de Recherches Economiques du Département d'Econométrie et d'Economie politique (DEEP) 2 Computational Statistics & Data Analysis 2 Economics Papers from University Paris Dauphine 2 International journal of production economics 2 International review of economics & finance : IREF 2 International review of financial analysis 2 Journal of Banking & Finance 2 Journal of Empirical Finance 2
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Source
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ECONIS (ZBW) 169 RePEc 88 EconStor 25 Other ZBW resources 2 BASE 1
Showing 1 - 10 of 285
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On the limits of hedging inflation risk in investment portfolios
Chen, Damiaan H. J.; Beetsma, Roel; Wijnbergen, Sweder van - 2026 - This version: April 9, 2026
Persistent link: https://www.econbiz.de/10015632820
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Multivariate dynamic mixed-frequency density pooling for financial forecasting
Virbickaitė, Audronė; Lopes, Hedibert Freitas; … - In: International journal of forecasting 41 (2025) 3, pp. 1184-1198
Persistent link: https://www.econbiz.de/10015441556
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Formulation of estimator for population mean in stratified successive sampling using memory-based information
Majumder, Sanjoy; Bandyopadhyay, Arnab; Gupta, Arindam - In: Statistics in transition : an international journal of … 26 (2025) 2, pp. 39-56
In study described in this article, we developed a memory type estimator for the population mean in stratified successive sampling. We used the past sample information together with the current sample information through hybrid exponentially weighted moving averages statistics. We have also used...
Persistent link: https://www.econbiz.de/10015447227
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Asset allocation with factor-based covariance matrices
Conlon, Thomas; Cotter, John; Kynigakis, Iason - In: European journal of operational research : EJOR 325 (2025) 1, pp. 189-203
Persistent link: https://www.econbiz.de/10015433232
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Financial technology (Fintech) and sustainable financing : special Issue reprint
Colombage, Sisira (ed.) - 2025 - 3rd edition
Persistent link: https://www.econbiz.de/10015609784
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Large dynamic covariance matrices and portfolio selection with a heterogeneous autoregressive model
Honig, Igor; Kircher, Felix - In: Journal of banking and finance 178 (2025), pp. 1-15
Persistent link: https://www.econbiz.de/10015558692
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Are minimum variance portfolios in multi-factor models long in low-beta assets?
Steland, Ansgar - In: Mathematics and financial economics 18 (2024) 1, pp. 151-170
Persistent link: https://www.econbiz.de/10015045588
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Sparse portfolio selection via topological data analysis based clustering
Goel, Anubha; Filipović, Damir; Pasricha, Puneet - 2024
Persistent link: https://www.econbiz.de/10014485759
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Are minimum variance portfolios in multi-factor models long in low-beta assets?
Steland, Ansgar - In: Mathematics and Financial Economics 18 (2024) 1, pp. 151-170
Within the one-factor capital asset pricing model (CAPM), the minimum-variance portfolio (MVP) is known to have long … theoretical findings and shows that the minimum variance portfolio is long in low-beta assets when applying estimates of the …
Persistent link: https://www.econbiz.de/10015373500
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Optimal markowitz portfolio using returns forecasted with time series and machine learning models
Ślusarczyk, Damian; Ślepaczuk, Robert - 2023
Persistent link: https://www.econbiz.de/10014446491
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