Search Results - subject:"minimum-variance portfolio"

Asset allocation with factor-based covariance matrices

Conlon, Thomas; Cotter, John; Kynigakis, Iason - In: European journal of operational research : EJOR 325 (2025) 1, pp. 189-203

Persistent link: https://www.econbiz.de/10015433232

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

Beyond GMV : the relevance of covariance matrix estimation for risk-based portfolio construction

Dom, M. Sipke; Howard, Clint; Jansen, Maarten; Lohre, Harald - In: Quantitative finance 25 (2025) 3, pp. 403-419

Persistent link: https://www.econbiz.de/10015534104

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

Smart grid ETFS : evaluating risk, return, and diversification benefits in sustainable investment portfolios

Tudor, Cristiana; Sova, Robert - In: Building Economic Resilience : Strategies for …, (pp. 261-282). 2025

Persistent link: https://www.econbiz.de/10015455762