van Jaarsveldt, Cole; Peters, Gareth; Ames, Matthew; … - 2023
) framework, Regularised Covariance Regression (RCR) framework, Risk Premia Parity (RPP) weighting functions, Singular Spectrum … RCR framework to forecast covariance and correlation structures and finally apply portfolio weighting strategies based on … the portfolio risk measures based on forecasted covariance assumptions. Explicit financial factors can be used in the …