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  • Search: subject:"Minimum-variance"
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Year of publication
Subject
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Portfolio-Management 138 Portfolio selection 137 Theorie 89 Theory 87 Varianzanalyse 65 Analysis of variance 64 Volatility 50 Volatilität 50 Hedging 49 Schätztheorie 48 Estimation theory 46 Minimum variance portfolio 35 Correlation 33 Korrelation 33 ARCH model 28 ARCH-Modell 28 minimum variance portfolio 28 Capital income 26 Kapitaleinkommen 26 Minimum variance 23 Risikomanagement 22 Risk management 22 CAPM 21 Derivat 17 Derivative 17 minimum variance 17 Forecasting model 16 Minimum-variance portfolio 16 Prognoseverfahren 16 Risikomaß 16 Risk measure 16 Portfolio optimization 14 Global minimum variance portfolio 13 Risiko 13 Risk 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 97 CC license 7
Type of publication
All
Article 219 Book / Working Paper 62
Type of publication (narrower categories)
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Article in journal 150 Aufsatz in Zeitschrift 150 Working Paper 20 Article 15 Arbeitspapier 11 Graue Literatur 11 Non-commercial literature 11 Aufsatz im Buch 2 Book section 2 Conference paper 2 Konferenzbeitrag 2 research-article 2
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Language
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English 209 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) 166 RePEc 88 EconStor 24 Other ZBW resources 2 BASE 1
Showing 1 - 10 of 281
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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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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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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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Explicit minimal representation of variance matrices, and its implication for dynamic volatility models
Abadir, Karim Maher - In: The econometrics journal 26 (2023) 1, pp. 88-104
Persistent link: https://www.econbiz.de/10013543279
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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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Beyond GMV : the relevance of covariance matrix estimation for risk-based portfolio construction
Dom, M. Sipke; Howard, Clint; Jansen, Maarten; Lohre, Harald - In: Quantitative finance 25 (2025) 3, pp. 403-419
Persistent link: https://www.econbiz.de/10015534104
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Sparsity and stability for minimum-variance portfolios
Husmann, Sven; Shivarova, Antoniya; Steinert, Rick - In: Risk Management 24 (2022) 3, pp. 214-235
The popularity of modern portfolio theory has decreased among practitioners because of its unfavorable out-of-sample performance. Estimation risk tends to affect the optimal weight calculation noticeably, especially when a large number of assets are considered. To overcome these issues, many...
Persistent link: https://www.econbiz.de/10015199557
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Sparsity and stability for minimum-variance portfolios
Husmann, Sven; Shivarova, Antoniya; Steinert, Rick - In: Risk management : an international journal 24 (2022) 3, pp. 214-235
Persistent link: https://www.econbiz.de/10013387562
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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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