method on each subportfolio is satisfied. We derive an explicit formula for the process-variance, the estimation-error and the …

Many financial decisions such as portfolio allocation, risk management, option pricing and hedge strategies are based … empirical comparison of several methods to predict one-step-ahead conditional covariance matrices. These matrices are used as … inputs to obtain out-of-sample minimum variance portfolios based on all stocks belonging to the S&P500 index from 2000 to …

Modelling and forecasting of asset volatility and covariance is of prime importance in the construction of portfolios … traditional Markowitz portfolio optimisation to the more recently popular risk-based portfolio optimisation. Our model is shown to … provide superior risk-adjusted returns for a currency carry trade strategy over the period 1999-2014 …