-of-sample volatility of optimized portfolios from each model. A few factors capture the general covariance structure but adding more … factors does not improve forecast power. Portfolio optimization helps for risk control, but the different covariance models …We evaluate the performance of different models for the covariance structure of stock returns, focusing on their use …

The covariance of asset returns with economic states of the world is a fundamental input to asset pricing models. Using … about covariance between the S&P index and macro-economic factors. We find evidence that life-experience was a significant …

The fine structure of earnings is defined by a theoretically meaningful decomposition of the covariance matrix of …