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

Persistent link: https://www.econbiz.de/10015045588

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

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