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Statistical Inferences for Realized Portfolio Weights

Golosnoy, Vasyl - 2018

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

High-Dimensional Minimum Variance Portfolio Estimation Based on High-Frequency Data

Cai, Tony - 2019

This paper studies the estimation of high-dimensional minimum variance portfolio (MVP) based on the high frequency returns which can exhibit heteroscedasticity and possibly be contaminated by microstructure noise. Under certain sparsity assumptions on the precision matrix, we propose estimators...

Persistent link: https://www.econbiz.de/10012900204

Portfolio Efficiency Tests with Conditioning Information - Comparing GMM and GEL Estimators

Vigo Pereira, Caio - 2020

We evaluate the use of Generalized Empirical Likelihood (GEL) estimators in portfolio efficiency tests for asset pricing models in the presence of conditional information. Estimators from GEL family present some optimal statistical properties, such as robustness to misspecification and better...

Persistent link: https://www.econbiz.de/10012848570

Shrinkage Estimation in Risk Parity Portfolios

Alkafri, Nabil; Frey, Christoph - 2022

We investigate the impact of shrinkage estimation techniques for the moments of asset returns on risk-parity portfolios. In contrast to mean-variance portfolios, the risk contributions of individual assets in risk-parity portfolios are fixed a priori. This additional restriction stabilizes...

Persistent link: https://www.econbiz.de/10013313921

Coupled Risk Measures and Their Empirical Estimation When Losses Follow Heavy-Tailed Distributions

Necir, Abdelhakim - 2011

Considerable literature has been devoted to developing statistical inferential results for risk measures, especially for those that are of the form of L-functionals. However, practical and theoretical considerations have highlighted quite a number of risk measures that are of the form of ratios,...

Persistent link: https://www.econbiz.de/10013124424

Modelling Dynamic Portfolio Risk Using Risk Drivers of Elliptical Processes

Schmidt, Rafael - 2016

The situation of a limited availability of historical data is frequently encountered in portfolio risk estimation, especially in credit risk estimation. This makes it, for example, difficult to find temporal structures with statistical significance in the data on the single asset level. By...

Persistent link: https://www.econbiz.de/10012989295

Diversification Intensive of Risk Premia

Sogiakas, Vasilios I. - 2015

diversification effects. Using data from the main US exchanges, there is strong evidence of over- and under-estimation of factor risk … premia relevant to their intrinsic values. We propose an amended multifactor asset pricing model, the diversification risk … formed on size and liquidity suffer from diversification asymmetries. Specifically, the size effect dies out when the …

Persistent link: https://www.econbiz.de/10013034028

Large Dimensional Time-Varying GMM Estimation : A New Approach

Cui, Liyuan; Hong, Yongmiao; Wang, Junhui - 2021

We develop a novel machine learning method to estimate large dimensional time-varying GMM models via our newly designed ridge fusion regularization scheme. Our method is a one-step procedure and allows for abrupt, smooth and dual type time variation with a fast rate of convergence. It...

Persistent link: https://www.econbiz.de/10013234588

How Many Observations Should One Use When Calculating Historical Estimators for Expected Returns, Volatilities and Correlations?

Steiner, Andreas - 2022

Deriving estimators from historical data is common practice in applied quantitative finance. The availability of ever larger data sets and easier access to statistical algorithms has also led to an increased usage of historical estimators. In this research note, we illustrate how to assess the...

Persistent link: https://www.econbiz.de/10014236566

GARCH Family Models vs EWMA : which is the best model to forecast volatility of the Moroccan stock exchange market?

Jebari, Ouael El; Hakmaoui, Abdelati - In: Revista de métodos cuantitativos para la economía y … 26 (2018), pp. 237-249

Nowadays, modeling and forecasting the volatility of stock markets have become central to the practice of risk management; they have become one of the major topics in financial econometrics and they are principally and continuously used in the pricing of financial assets and the Value at Risk,...

Persistent link: https://www.econbiz.de/10012023967