On Portfolio Optimization : Forecasting Covariances and Choosing the Risk Model
Year of publication: |
[2010]
|
---|---|
Authors: | Chan, Louis K.C. |
Other Persons: | Karceski, Jason J. (contributor) ; Lakonishok, Josef (contributor) |
Publisher: |
[2010]: [S.l.] : SSRN |
Subject: | Theorie | Theory | Kapitaleinkommen | Capital income | Portfolio-Management | Portfolio selection | Korrelation | Correlation | Volatilität | Volatility | Varianzanalyse | Analysis of variance |
Extent: | 1 Online-Ressource (60 p) |
---|---|
Series: | NBER Working Paper ; No. w7039 |
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments March 1999 erstellt |
Source: | ECONIS - Online Catalogue of the ZBW |
-
Do high-frequency data improve high-dimensional portfolio allocations?
Hautsch, Nikolaus, (2015)
-
Do high-frequency data improve high-dimensional portfolio allocations?
Hautsch, Nikolaus, (2013)
-
Factor high-frequency based volatility (HEAVY) models
Sheppard, Kevin, (2014)
- More ...
-
Analysts' Conflict of Interest and Biases in Earnings Forecasts
Chan, Louis K.C., (2004)
-
The Level and Persistence of Growth Rates
Chan, Louis K.C., (2003)
-
On Portfolio Optimization : Forecasting Covariances and Choosing the Risk Model
Chan, Louis K.C., (2000)
- More ...