Predicting the Global Minimum Variance Portfolio

DOI10.1080/07350015.2022.2035226OpenAlexW4210378752MaRDI QIDQ6149858

Fabian Krüger, Unnamed Author, Roman Liesenfeld

Publication date: 5 March 2024

Published in: Journal of Business & Economic Statistics (Search for Journal in Brave)

Full work available at URL: https://publikationen.bibliothek.kit.edu/1000122441/84378755

zbMATH Keywords

recursive least squaresforecastingshrinkageelicitabilitygeneralized autoregressive scoreconsistent loss function

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

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