Showing 1 - 10 of 16
Persistent link: https://www.econbiz.de/10012632302
Persistent link: https://www.econbiz.de/10003888617
Persistent link: https://www.econbiz.de/10009571510
Persistent link: https://www.econbiz.de/10003746429
Persistent link: https://www.econbiz.de/10003800395
Persistent link: https://www.econbiz.de/10003800417
Persistent link: https://www.econbiz.de/10001774747
Statistical inferences for weights of the global minimum variance portfolio (GMVP) are of both theoretical and practical relevance for mean-variance portfolio selection. Daily realized GMVP weights depend only on realized covariance matrix computed from intraday highfrequency returns. In this...
Persistent link: https://www.econbiz.de/10012912220
Persistent link: https://www.econbiz.de/10005014989
Persistent link: https://www.econbiz.de/10004575384