Risk-based portfolios with large dynamic covariance matrices

In the field of portfolio management, practitioners are focusing increasingly on risk-based portfolios rather than on mean-variance portfolios. Risk-based portfolios are constructed based solely on covariance matrices, and include methods such as minimum variance (MV), risk parity (RP), and maximum...

Ausführliche Beschreibung

Gespeichert in:

Bibliographische Detailangaben
Veröffentlicht in:	International journal of financial studies 2018-06, Vol.6 (2), p.1-14
Hauptverfasser:	Nakagawa, Kei, Imamura, Mitsuyoshi, Yoshida, Kenichi
Format:	Artikel
Sprache:	eng
Schlagworte:	(c)DCC-GARCH Accuracy Asset allocation Asset management Bias Diversification Economic models Economic statistics Efficient markets Eigenvalues Engle, Robert F Hypothesis testing maximum diversification Methods minimum variance Multivariate analysis nonlinear shrinkage Optimization Portfolio management Random variables risk parity Securities markets Stochastic models Stock exchanges Time series Volatility
Online-Zugang:	Volltext
Tags:	Tag hinzufügen Keine Tags, Fügen Sie den ersten Tag hinzu!

Schreiben Sie den ersten Kommentar!