Reactive global minimum variance portfolios with k-BAHC covariance cleaning
Year of publication: |
2022
|
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Authors: | Bongiorno, Christian ; Challet, Damien |
Published in: |
The European journal of finance. - London [u.a.] : Taylor & Francis Group, ISSN 1466-4364, ZDB-ID 2001610-4. - Vol. 28.2022, 13/15, p. 1344-1360
|
Subject: | Covariance matrix cleaning | dynamic conditional covariance | global minimum variance portfolios | portfolio optimization | realized risk | Portfolio-Management | Portfolio selection | Varianzanalyse | Analysis of variance | Korrelation | Correlation | Schätztheorie | Estimation theory |
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