Should (co)jump variation be included in asset allocation?
Year of publication: |
2022
|
---|---|
Authors: | Chen, Zirong ; Lin, Haonan ; Zheng, Xu |
Subject: | covariation matrix | global minimum variance portfolio | Jump variation | turnover | Portfolio-Management | Portfolio selection | Volatilität | Volatility | Varianzanalyse | Analysis of variance | Schätztheorie | Estimation theory | Korrelation | Correlation |
-
Maximum likelihood estimation of covariance matrices with constraints on the efficient frontier
Yilmaz, Hilal, (2016)
-
Estimation of the global minimum variance portfolio in high dimensions
Bodnar, Taras, (2018)
-
On the weight sign of the global minimum variance portfolio
Chiu, Wan-Yi, (2016)
- More ...
-
Do shifts in regimes impact the disposition effect implied by prospect theory models?
Lin, Haonan, (2022)
-
Dynamic partial (co)variance forecasting model
Chen, Zirong, (2024)
-
Wang, Fang, (2018)
- More ...