Caldeira, João; Moura, Guilherme; Santos, André A.P. - In: Economics Bulletin 32 (2012) 3, pp. 1848-1857
We apply a parsimonious multivariate GARCH specication based on the Fama-French-Carhart factor model to generate high-dimensional conditional covariance matrices and to obtain shortselling-constrained and unconstrained minimum variance portfolios. An application involving 61 stocks traded on the...