On the weight sign of the global minimum variance portfolio
Year of publication: |
November 2016
|
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Authors: | Chiu, Wan-Yi ; Jiang, Ching-hai |
Published in: |
Finance research letters. - Amsterdam [u.a.] : Elsevier, ISSN 1544-6123, ZDB-ID 2181386-3. - Vol. 19.2016, p. 241-246
|
Subject: | Global minimum variance portfolio | Inverse covariance matrix | Regression hedge | Modified information ratio | Portfolio-Management | Portfolio selection | Varianzanalyse | Analysis of variance | Schätztheorie | Estimation theory | Hedging |
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