Search Results - subject:"global minimum variance portfolio"

Sparse portfolio selection via topological data analysis based clustering

Goel, Anubha; Filipović, Damir; Pasricha, Puneet - 2024

Persistent link: https://www.econbiz.de/10014485759

News co-occurrences, stock return correlations, and portfolio construction implications

Tang, Yi; Zhou, Yilu; Hong, Marshall - In: Journal of Risk and Financial Management 12 (2019) 1, pp. 1-21

In this paper, we construct a sample of news co-occurrences using big data technologies. We show that stocks that co-occur in news articles are less risky, bigger, and more covered by financial analysts, and economically-connected stocks are mentioned more often in the same news articles. We...

Persistent link: https://www.econbiz.de/10012611153

News co-occurrences, stock return correlations, and portfolio construction implications

Tang, Yi; Zhou, Yilu; Hong, Marshall - In: Journal of risk and financial management : JRFM 12 (2019) 1/45, pp. 1-21

Persistent link: https://www.econbiz.de/10012022291

Rebalanceamento endógeno para portfólios de variância mínima

Demos, Guilherme; Pires, Thomas Henrique Schreurs; … - In: Revista Brasileira de Finanças : RBFin 13 (2015) 4, pp. 544-570

Persistent link: https://www.econbiz.de/10011585643

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

Understanding the Impact of Weights Constraints in Portfolio Theory

Roncalli, Thierry - Volkswirtschaftliche Fakultät, … - 2010

and Ma (2003). They show that solving the global minimum variance portfolio problem with some constraints on weights is … constraints on the global minimum variance portfolio and the tangency portfolio. We illustrate how imposing lower and upper bounds …

Persistent link: https://www.econbiz.de/10009493275

Dominating estimators for the global minimum variance portfolio

Frahm, Gabriel; Memmel, Christoph - 2009

Two shrinkage estimators for the global minimum variance portfolio that dominate the traditional estimator with respect …

Persistent link: https://www.econbiz.de/10010298777

Dominating estimators for the global minimum variance portfolio

Frahm, Gabriel; Memmel, Christoph - Deutsche Bundesbank - 2009

Two shrinkage estimators for the global minimum variance portfolio that dominate the traditional estimator with respect …

Persistent link: https://www.econbiz.de/10005082766

Dominating estimators for the global minimum variance portfolio

Frahm, Gabriel; Memmel, Christoph - 2008

In this paper, we derive two shrinkage estimators for the global minimum variance portfolio that dominate the …

Persistent link: https://www.econbiz.de/10010304421

Dominating estimators for the global minimum variance portfolio

Frahm, Gabriel; Memmel, Christoph - Seminar für Wirtschafts- und Sozialstatistik, … - 2008

In this paper, we derive two shrinkage estimators for the global minimum variance portfolio that dominate the …

Persistent link: https://www.econbiz.de/10009019665