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García, Fernando; Guijarro, Francisco; Moya, Ismael - In: Journal of business economics and management 14 (2013) 4, pp. 758-775

Persistent link: https://www.econbiz.de/10010188972

Reconciling mean-variance portfolio theory with non-Gaussian returns

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The benefits of improved covariance estimation

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Analysing the information embedded in the optimal mean-variance weights : CAPM versus Bamberg and Dorfleitner model

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The effects of errors in means, variances, and correlations on the mean-variance framework

Chung, Munki; Lee, Yongjae; Kim, Jang Ho; Kim, Woo Chang; … - In: Quantitative finance 22 (2022) 10, pp. 1893-1903

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Theoretical and empirical estimates of mean-variance portfolop sensitivity

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Outlyingness weighted covariation

Boudt, Kris; Croux, Christophe; Laurent, Sébastien - In: Journal of financial econometrics : official journal of … 9 (2011) 4, pp. 657-684

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Analysis of high frequency data in finance: a survey

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Truncated Realized Covariance When Prices Have Infinite Variation Jumps

Mancini, Cecilia - 2015

The speed of convergence of the truncated realized covariance to the integrated covariation between the Brownian parts of two semimartingales is heavily influenced by the presence of infinite activity jumps with infinite variation. Namely, the two small jumps processes play a crucial role...

Persistent link: https://www.econbiz.de/10013033475

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