Search Results - subject:"minimum-variance portfolio"

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

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

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

Sparse portfolio selection via topological data analysis based clustering

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

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

Limiting out-of-sample performance of optimal unconstrained portfolios

Chávez-Bedoya, Luis; Birge, John R. - In: Finance research letters 67 (2024) 2, pp. 1-15

Persistent link: https://www.econbiz.de/10015062578

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

Large-dimensional portfolio selection with a high-frequency-based dynamic factor model

Tranberg Bodilsen, Simon - 2025

Persistent link: https://www.econbiz.de/10015339181

Energy commodity price risk minimization with precious metals in a multivariate portfolio

Živkov, Dejan; Damnjanović, Jelena; … - In: Finance a úvěr 72 (2022) 1, pp. 50-70

Persistent link: https://www.econbiz.de/10013189236

Orthogonal portfolios to assess estimation risk

Chávez-Bedoya, Luis; Rosales, Francisco - In: International review of economics & finance : IREF 80 (2022), pp. 906-937

Persistent link: https://www.econbiz.de/10013342794