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~subject:"Minimum variance portfolio"
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Minimum variance portfolio
Portfolio-Management
123
Portfolio selection
122
Theorie
77
Theory
75
Hedging
48
Varianzanalyse
48
Analysis of variance
47
Schätztheorie
35
Estimation theory
33
Capital income
32
Kapitaleinkommen
32
Volatility
30
Volatilität
30
minimum variance portfolio
27
Correlation
24
Korrelation
23
ARCH model
22
ARCH-Modell
22
Minimum variance
22
CAPM
19
minimum variance
16
Derivat
14
Derivative
14
Forecasting model
13
Global minimum variance portfolio
13
Prognoseverfahren
13
Risikomaß
13
Risk measure
13
Minimum-variance portfolio
12
Risiko
11
Risikomanagement
11
Risk
11
Risk management
11
Estimation
10
Portfolio optimization
10
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10
portfolio optimization
10
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9
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4
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29
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English
26
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Hotta, Luiz K.
4
Trucíos, Carlos
4
Zevallos, Mauricio
4
Santos, André A. P.
3
Hallin, Marc
2
Hu, Jinjin
2
Li, Yingying
2
Mazzeu, João H. G.
2
Pereira, Pedro L. Valls
2
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2
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2
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2
Bauwens, Luc
1
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1
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1
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1
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1
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1
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1
Diks, Cees G. H.
1
Ding, Yi
1
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1
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1
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1
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1
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1
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1
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1
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1
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1
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1
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1
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1
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1
Kit, Pong Wong
1
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1
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1
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1
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1
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Departamento Académico de Economía, Universidad del Pacífico
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Journal of econometrics
5
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ECONIS (ZBW)
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5
EconStor
1
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1
Forecasting conditional covariance matrices in high-dimensional time series : a general dynamic factor approach
Trucíos, Carlos
;
Mazzeu, João H. G.
;
Hallin, Marc
; …
- In:
Journal of business & economic statistics : JBES ; a …
41
(
2023
)
1
,
pp. 40-52
Persistent link: https://www.econbiz.de/10013540629
Saved in:
2
Is the empirical out-of-sample variance an informative risk measure for the high-dimensional portfolios?
Bodnar, Taras
;
Parolya, Nestor
;
Thorsén, Erik
- In:
Finance research letters
54
(
2023
),
pp. 1-11
Persistent link: https://www.econbiz.de/10014472777
Saved in:
3
Covariance prediction in large portfolio allocation
Trucíos, Carlos
;
Zevallos, Mauricio
;
Hotta, Luiz K.
; …
- In:
Econometrics
7
(
2019
)
2
,
pp. 1-24
inputs to obtain out-of-sample
minimum
variance
portfolios based on stocks belonging to the S&P500 index from 2000 to 2017 …
Persistent link: https://www.econbiz.de/10012696234
Saved in:
4
Forecasting conditional covariance matrices in high-dimensional time series : a general dynamic factor approach
Trucíos, Carlos
;
Mazzeu, João H. G.
;
Hallin, Marc
; …
-
2019
Persistent link: https://www.econbiz.de/10012064776
Saved in:
5
Covariance prediction in large portfolio allocation
Trucíos, Carlos
;
Zevallos, Mauricio
;
Hotta, Luiz K.
; …
- In:
Econometrics : open access journal
7
(
2019
)
2/19
,
pp. 1-24
inputs to obtain out-of-sample
minimum
variance
portfolios based on stocks belonging to the S&P500 index from 2000 to 2017 …
Persistent link: https://www.econbiz.de/10012025822
Saved in:
6
High dimensional
minimum
variance
portfolio estimation under statistical factor models
Ding, Yi
;
Li, Yingying
;
Zheng, Xinghua
- In:
Journal of econometrics
222
(
2021
)
1,2
,
pp. 502-515
Persistent link: https://www.econbiz.de/10012619723
Saved in:
7
On the long-only
minimum
variance
portfolio under single factor model
Qi, Hou-Duo
- In:
Operations research letters
49
(
2021
)
5
,
pp. 795-801
Persistent link: https://www.econbiz.de/10013207450
Saved in:
8
High-dimensional
minimum
variance
portfolio estimation based on high-frequency data
Cai, T. Tony
;
Hu, Jianchang
;
Li, Yingying
;
Zheng, Xinghua
- In:
Journal of econometrics
214
(
2020
)
2
,
pp. 482-494
Persistent link: https://www.econbiz.de/10012439068
Saved in:
9
International effects of a compression of euro area yield curves
Feldkircher, Martin
;
Gruber, Thomas
;
Huber, Florian
- In:
Journal of banking & finance
113
(
2020
),
pp. 1-14
Persistent link: https://www.econbiz.de/10012226140
Saved in:
10
Should investors join the index revolution? : evidence from around the world
Buehlmaier, Matthias M. M.
;
Kit, Pong Wong
- In:
The journal of asset management
21
(
2020
)
3
,
pp. 192-218
Persistent link: https://www.econbiz.de/10012292765
Saved in:
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