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High dimensional minimum variance portfolio estimation under statistical factor models
Ding, Yi; Li, Yingying; Zheng, Xinghua - In: Journal of econometrics 222 (2021) 1,2, pp. 502-515
Persistent link: https://www.econbiz.de/10012619723
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High-dimensional minimum variance portfolio estimation based on high-frequency data
Cai, T. Tony; Hu, Jianchang; Li, Yingying; Zheng, Xinghua - In: Journal of econometrics 214 (2020) 2, pp. 482-494
Persistent link: https://www.econbiz.de/10012439068
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Estimation of the global minimum variance portfolio in high dimensions
Bodnar, Taras; Parolya, Nestor; Schmid, Wolfgang - In: European journal of operational research : EJOR 266 (2018) 1, pp. 371-390
Persistent link: https://www.econbiz.de/10011811777
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Estimation of time-varying covariance matrices for large datasets
Dendramis, Yiannis; Giraitis, Liudas; Kapetanios, George - 2020
Unemployment, firm Dynamics, and the Business CyclTime variation is a fundamental problem in statistical and econometric analysis of macroeconomic and financial data. Recently there has been considerable focus on developing econometric modelling that enables stochastic structural change in model...
Persistent link: https://www.econbiz.de/10012316010
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Markowitz portfolios under transaction costs
Ledoit, Olivier; Wolf, Michael - 2022
Markowitz portfolio selection is a cornerstone in finance, both in academia and in the industry. Most academic studies either ignore transaction costs or account for them in a way that is both unrealistic and suboptimal by (i) assuming transaction costs to be constant across stocks and (ii)...
Persistent link: https://www.econbiz.de/10013440073
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Asset returns and economic risk
Robotti, Cesare - In: Economic Review (2002) Q2, pp. 13-25
that the extra return on a risky asset comes from bearing market risk only. But newer evidence supports the intertemporal … CAPM (I-CAPM) theory (Merton 1973), which suggests that the premium on any risky asset is related not only to market risk … literature. The study seeks to shed light on the sources of economic risk that investors should track and hedge against and the …
Persistent link: https://www.econbiz.de/10005361046
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Validity of capital asset pricing model: evidence from Karachi stock exchange
Syed ali, Raza; Syed tehseen, jawaid; Imtiaz, arif; … - Volkswirtschaftliche Fakultät, … - 2011
This study investigates the validity of Capital Asset Pricing (CAP) Model in Karachi stock exchange (KSE). The data of 387 companies of 30 different sectors on monthly, quarterly and semiannual basis are used. The Paired sample t- test is applied to find the difference between actual and...
Persistent link: https://www.econbiz.de/10009220664
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A simple model of trading and pricing risky assets under ambiguity: any lessons for policy-makers?
Guidolin, Massimo; Rinaldi, Francesca - Federal Reserve Bank of St. Louis - 2009
performance of individual securities. Risk premia (spreads) increase with the proportion of traders in the market who are averse …
Persistent link: https://www.econbiz.de/10004973897
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Habit persistence and asset returns in an exchange economy
Boldrin, Michele; Christiano, Lawrence J.; Fisher, … - Federal Reserve Bank of Chicago - 1997
equity premium and the risk free rate and to develop intuition that is useful for understanding asset pricing in more …
Persistent link: https://www.econbiz.de/10005724369
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Die Messung von Risiken in makroökonomischen Variablen
Seppelfricke, Peter - 1995
Persistent link: https://www.econbiz.de/10000549303