Showing 1 - 10 of 10
Persistent link: https://www.econbiz.de/10001473069
Persistent link: https://www.econbiz.de/10000983518
Persistent link: https://www.econbiz.de/10000983541
Persistent link: https://www.econbiz.de/10000983546
Persistent link: https://www.econbiz.de/10001305358
Persistent link: https://www.econbiz.de/10001409827
Persistent link: https://www.econbiz.de/10001774747
Statistical inferences for weights of the global minimum variance portfolio (GMVP) are of both theoretical and practical relevance for mean-variance portfolio selection. Daily realized GMVP weights depend only on realized covariance matrix computed from intraday highfrequency returns. In this...
Persistent link: https://www.econbiz.de/10012912220
Persistent link: https://www.econbiz.de/10003905998
Persistent link: https://www.econbiz.de/10009711709