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Diversifying estimation errors: an efficient averaging rule for portfolio optimization
Füss, Roland; Koeppel, Christian; Miebs, Felix - 2021
-of-sample variance. Our rule overcomes the problem of selecting the “best” strategy ex-ante and diversifies remaining estimation errors … of the single strategies included in the averaging. Extensive simulations show that the contributions of estimation …
Persistent link: https://www.econbiz.de/10012426966
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Dynamic covariance matrix estimation and portfolio analysis with high-frequency data
Liu, Cheng; Tang, Cheng Yong - In: Journal of financial econometrics 22 (2024) 2, pp. 461-491
Persistent link: https://www.econbiz.de/10014526333
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Uncertain risk parity
Shah, Anish R. - In: The journal of investment strategies 10 (2021) 1, pp. 29-41
Persistent link: https://www.econbiz.de/10012805357
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The bias in two-pass regression tests of asset-pricing models in presence of idiosyncratic errors with cross-sectional dependence
Gramespacher, Thomas; Bänziger, Armin - In: Review of Pacific Basin financial markets and policies 22 (2019) 2, pp. 1950012-1-1950012-17
Persistent link: https://www.econbiz.de/10012139945
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Estimating the quadratic covariation matrix for asynchronously observed high frequency stock returns corrupted by additive measurement error
Park, Sujin; Hong, Seok Young; Linton, Oliver - In: Journal of econometrics 191 (2016) 2, pp. 325-347
Persistent link: https://www.econbiz.de/10011610563
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The risk and return of venture capital
Cochrane, John H. - 2001
Persistent link: https://www.econbiz.de/10001542489
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The risk and return of venture capital
Cochrane, John H. - In: Journal of financial economics 75 (2005) 1, pp. 3-52
Persistent link: https://www.econbiz.de/10002515937
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Realized volatility forecasting : Robustness to measurement errors
Cipollini, Fabrizio; Gallo, Giampiero M.; Otranto, Edoardo - In: International journal of forecasting 37 (2021) 1, pp. 44-57
Persistent link: https://www.econbiz.de/10012692572
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Application of a Log Likelihood Object in GARCH with T-Distributed Errors and EGARCH with Generalised Error Distribution Model to the Monthly Returns of an Equity Hedge Fund
Guirguis, Michel - 2019
maximum value of the log likelihood estimation of the monthly returns of an equity hedge fund. The log likelihood model take …
Persistent link: https://www.econbiz.de/10012890419
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Portfolio turnover when IC is time-varying
Ding, Zhuanxin; Martin, R. Douglas; Yang, Chaojun - In: The journal of asset management 21 (2020) 7, pp. 609-622
Persistent link: https://www.econbiz.de/10012421074