Search Results - subject:"minimum variance"

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

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

Sparse portfolio selection via topological data analysis based clustering

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

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

An eigenvalue distribution derived "Stability Measure" for evaluating Minimum Variance portfolios

Smyth, William; Broby, Daniel - In: Quantitative finance 23 (2023) 3, pp. 521-537

Persistent link: https://www.econbiz.de/10014232686

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

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

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

Estimation of P (X È Y) for discrete distributions with non-identical support

Choudhury, Mriganka Mouli; Bhattacharya, Rahul; Maiti, … - In: Statistics in Transition new series (SiTns) 23 (2022) 3, pp. 43-64

The Uniformly Minimum Variance Unbiased (UMVU) and the Maximum Likelihood (ML) estimations of R = P(X È Y) and the …

Persistent link: https://www.econbiz.de/10013444145

Optimal hedge ratios and hedging effectiveness : an analysis of the Turkish futures market

Buyukkara, Goknur; Kucukozmen, C. Coskun; Uysal, E. Tolga - In: Borsa Istanbul Review 22 (2022) 1, pp. 92-102

—a multivariate generalized autoregressive conditional heteroskedasticity (GARCH) model—are compared with a minimum variance hedge …

Persistent link: https://www.econbiz.de/10012818026

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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