A completely automated optimization strategy for global minimum-variance portfolios based on a new test for structural breaks

We present a completely automated optimization strategy which combines the classical Markowitz mean-variance portfolio theory with a recently proposed test for structural breaks in co- variance matrices. With respect to equity portfolios, global minimum-variance optimizations, which base solely on t...

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Bibliographische Detailangaben

Hauptverfasser:	Berens, Tobias, Wied, Dominik, Ziggel, Daniel
Format:	Dataset
Sprache:	eng
Schlagworte:	fluctuation test portfolio optimization structural break
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