Search Results - subject:"Variance Analysis"

Predicting the Daily Covariance Matrix for S&P 100 Stocks Using Intraday Data - But Which Frequency to Use?

de Pooter, Michiel; Martens, Martin; van Dijk, Dick - 2005

This paper investigates the merits of high-frequency intraday data when forming minimum variance portfolios and minimum tracking error portfolios with daily rebalancing from the individual constituents of the S&P 100 index. We focus on the issue of determining the optimal sampling frequency,...

Persistent link: https://www.econbiz.de/10010325290

Predicting the Daily Covariance Matrix for S&P 100 Stocks using Intraday Data - But which Frequency to use?

Pooter, Michiel de; Martens, Martin; Dijk, Dick van - Tinbergen Instituut - 2005

This discussion paper resulted in a publication in 'Econometric Reviews', 2008, 27, 199-229.<P> This paper investigates the merits of high-frequency intraday data when forming minimum variance portfolios and minimum tracking error portfolios with daily rebalancing from the individual constituents...</p>

Persistent link: https://www.econbiz.de/10011255835

Predicting the Daily Covariance Matrix for S&P 100 Stocks Using Intraday Data - But Which Frequency to Use?

Pooter, Michiel de; Martens, Martin; Dijk, Dick van - Tinbergen Institute - 2005

Persistent link: https://www.econbiz.de/10005137077

Mixed time scale strategy in portfolio management

Chen, Wenjin; Szeto, K. Y. - In: International review of financial analysis 23 (2012), pp. 35-40

Persistent link: https://www.econbiz.de/10009690130

MEAN-VARIANCE APPROXIMATIONS TO THE GEOMETRIC MEAN

MARKOWITZ, HARRY - In: Annals of Financial Economics (AFE) 07 (2012) 01, pp. 1250001-1

This paper uses two databases to test the ability of six functions of arithmetic mean and variance to approximate geometric mean return or, equivalently, Bernoulli's expected log utility. The two databases are: (1) a database of returns on frequently used asset classes, and (2) that of real...

Persistent link: https://www.econbiz.de/10010699491

Mean-downside-risk and mean-variance newsvendor models: Implications for sustainable fashion retailing

Choi, Tsan-Ming; Chiu, Chun-Hung - In: International Journal of Production Economics 135 (2012) 2, pp. 552-560

Newsvendor models have been well-established for studying supply chain management problems with fashionable products. In this paper, we explore the mean-downside-risk (MDR) and mean-variance (MV) newsvendor models under both the exogenous and endogenous retail price decision cases. We first...

Persistent link: https://www.econbiz.de/10010572552

Mixed time scale strategy in portfolio management

Chen, Wenjin; Szeto, K.Y. - In: International Review of Financial Analysis 23 (2012) C, pp. 35-40

managing stock portfolios in which the long term trend is tracked by Markowitz's theory of mean variance analysis, and the … 24 chosen stocks from the Hang Seng Index is selected using mean variance analysis. This is accomplished through a two …

Persistent link: https://www.econbiz.de/10010574539

Characteristic-based mean-variance portfolio choice

Hjalmarsson, Erik; Manchev, Petar - In: Journal of Banking & Finance 36 (2012) 5, pp. 1392-1401

that the portfolio problem in this case reduces to a mean-variance analysis of assets with returns given by single … better, than the direct estimation approach, highlighting again the difficulties in beating the equal-weighted case in mean-variance … analysis. The empirical results also highlight the potential for ‘stock-picking’ in international indexes using characteristics …

Persistent link: https://www.econbiz.de/10010578005

Costs for conventional and renewable fuels and electricity in the worldwide transport sector: A mean–variance portfolio approach

Guerrero-Lemus, Ricardo; Marrero, Gustavo A.; Puch, Luis A. - In: Energy 44 (2012) 1, pp. 178-188

In this paper we analyze the role of changes in the fuel mix on emissions reduction and the diversification of risks associated to rising prices of energy. To this purpose we evaluate the average cost and the cost volatility of alternative fuel combinations in the road transport sector by means...

Persistent link: https://www.econbiz.de/10011055624

Challenging the Empirical Evidence From Present Value Models of the Current Account

Miniane, Jacques; Mercereau, Benoît - International Monetary Fund (IMF) - 2004

Under near-singularity conditions typically generated by persistence in current account data the predictions of present value models become extremely sensitive to small sample estimation error. Moreover, traditional Wald tests will distort the likelihood that the model is true. Using OECD data...

Persistent link: https://www.econbiz.de/10005263982