of the MV portfolio along with its mean and risk return when the sample covariance matrix is equal to a constant matrix …

obtaining such a portfolio. Our new set of assumptions mainly deals with the structure of the covariance matrix of the risky … assets returns. The structure we suggest for the covariance matrix is of a two-block type. We derive analytically sufficient …

obtaining such a portfolio. Our new set of assumptions mainly deals with the structure of the covariance matrix of the risky … assets returns. The structure we suggest for the covariance matrix is of a two-block type. We derive analytically sufficient …

-of-sample performance of mean-variance strategies when mean and covariance are sample estimators of (1) unfiltered excess returns; and (2 …

tackle both error sources, a joint method for covariance regularization and robust optimization is proposed which exploits … attractive behaviour as pure covariance regularization during normal times and improved performance as measured by out …-of-sample volatility if a jump in systematic risk occurs. Chapter 2 introduces a covariance estimation approach which is based solely on …