weights are all direct functions of the estimated covariance matrix. We perform a Monte Carlo study to assess the impact of … covariance matrix misspecification to these risk-based portfolios. Our results show that the equal-risk-contribution and inverse …-volatility weighted portfolio weights are relatively robust to covariance misspecification, but that the minimum-variance and maximum …

empirical comparison of several methods to predict one-step-ahead conditional covariance matrices. These matrices are used as …

empirical comparison of several methods to predict one-step-ahead conditional covariance matrices. These matrices are used as …

, and in turn improve forecast performance. A robust estimator of the covariance matrix is adopted to replace the realized … covariance (RCov) matrix while estimating the MHAR model. The robustness to outliers of the new estimator makes the OLS …