Narrow search
Showing 1 - 10 of 37
Cover Image
Factor models for portfolio selection in large dimensions : the good, the better and the ugly
De Nard, Gianluca; Ledoit, Olivier; Wolf, Michael - In: Journal of financial econometrics 19 (2021) 2, pp. 236-257
Persistent link: https://www.econbiz.de/10012620051
Cover Image
Bayesian selection of asset pricing factors using individual stocks
Hwang, Soosung; Rubesam, Alexandre - In: Journal of financial econometrics 20 (2022) 4, pp. 716-761
Persistent link: https://www.econbiz.de/10013349152
Cover Image
Testing for regime changes in portfolios with a large number of assets : a robust approach to factor heteroskedasticity
Massacci, Daniele - In: Journal of financial econometrics 21 (2023) 2, pp. 316-367
Persistent link: https://www.econbiz.de/10014314751
Cover Image
An enhanced factor model for portfolio selection in high dimensions
Shi, Fangquan; Shu, Lianjie; Gu, Xinhua - In: Journal of financial econometrics 22 (2024) 1, pp. 94-118
Persistent link: https://www.econbiz.de/10014526307
Cover Image
Optimal portfolio using Factor Graphical Lasso
Lee, Tae-hwy; Seregina, Ekaterina - In: Journal of financial econometrics 22 (2024) 3, pp. 670-695
Persistent link: https://www.econbiz.de/10015045168
Cover Image
Forecasting large realized covariance matrices : the benefits of factor models and shrinkage
Alves, Rafael P.; Medeiros, Marcelo C.; Ribeiro, Ruy … - In: Journal of financial econometrics 22 (2024) 3, pp. 696-742
Persistent link: https://www.econbiz.de/10015045177
Cover Image
Geographic dependence and diversification in house price returns : the role of leverage
Heinen, Andréas; Kim, Mi Lim; Hamadi, Malika - In: Journal of financial econometrics 22 (2024) 1, pp. 297-334
Persistent link: https://www.econbiz.de/10014526319
Cover Image
Robo-advising : learning investors' risk preferences via portfolio choices
Alsabah, Humoud; Capponi, Agostino; Lacedelli, Octavio Ruiz - In: Journal of financial econometrics 19 (2021) 2, pp. 369-392
Persistent link: https://www.econbiz.de/10012620056
Cover Image
Covariance matrix estimation under total positivity for portfolio selection
Agrawal, Raj; Roy, Uma; Uhler, Caroline - In: Journal of financial econometrics 20 (2022) 2, pp. 367-389
Persistent link: https://www.econbiz.de/10013187988
Cover Image
Positional portfolio management
Gagliardini, Patrick; Gouriéroux, Christian; Rubin, Mirco - In: Journal of financial econometrics 19 (2021) 4, pp. 650-706
Persistent link: https://www.econbiz.de/10012654983