Sparse precision matrices for minimum variance portfolios
نویسندگان
چکیده
منابع مشابه
Linear statistical inference for global and local minimum variance portfolios
Traditional portfolio optimization has been often criticized since it does not account for estimation risk. Theoretical considerations indicate that estimation risk is mainly driven by the parameter uncertainty regarding the expected asset returns rather than their variances and covariances. This is also demonstrated by several numerical studies. The global minimum variance portfolio has been a...
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ژورنال
عنوان ژورنال: Computational Management Science
سال: 2019
ISSN: 1619-697X,1619-6988
DOI: 10.1007/s10287-019-00344-6