Showing 1 - 10 of 19,249
Two shrinkage estimators for the global minimum variance portfolio that dominate the traditional estimator with respect to the out-of-sample variance of the portfolio return are derived. The presented results hold for any number of observations n = d 2 and number of assets d = 4. The...
Persistent link: https://www.econbiz.de/10010298777
In this paper, we derive two shrinkage estimators for the global minimum variance portfolio that dominate the traditional estimator with respect to the out-of-sample variance of the portfolio return. The presented results hold for any number of observations n ≥ d + 2 and number of assets d ≥...
Persistent link: https://www.econbiz.de/10010304421
In this paper, we construct a sample of news co-occurrences using big data technologies. We show that stocks that co-occur in news articles are less risky, bigger, and more covered by financial analysts, and economically-connected stocks are mentioned more often in the same news articles. We...
Persistent link: https://www.econbiz.de/10012611153
Expected returns can hardly be estimated from time series data. Therefore, many recent papers suggest investing in the global minimum variance portfolio. The weights of this portfolio depend only on the return variances and covariances, but not on the expected returns. The weights of the global...
Persistent link: https://www.econbiz.de/10010308682
Persistent link: https://www.econbiz.de/10011419827
Persistent link: https://www.econbiz.de/10010531938
Persistent link: https://www.econbiz.de/10009615665
Persistent link: https://www.econbiz.de/10011585643
Persistent link: https://www.econbiz.de/10011588856
Persistent link: https://www.econbiz.de/10011611271