Are minimum variance portfolios in multi-factor models long in low-beta assets?
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Publication:6594803
DOI10.1007/s11579-024-00366-yzbMATH Open1544.91295MaRDI QIDQ6594803
Publication date: 28 August 2024
Published in: (Search for Journal in Brave)
portfolio optimizationasset pricing modelsfactor modelsPCAminimum-variance portfoliolong-short strategies
Cites Work
- A well-conditioned estimator for large-dimensional covariance matrices
- Nonlinear shrinkage estimation of large-dimensional covariance matrices
- Two-step estimation of a factor model in the presence of observable factors
- Asymptotics for high-dimensional covariance matrices and quadratic forms with applications to the trace functional and shrinkage
- On the long-only minimum variance portfolio under single factor model
- Large-sample approximations for variance-covariance matrices of high-dimensional time series
- Sample covariance shrinkage for high dimensional dependent data
- On Deriving the Inverse of a Sum of Matrices
- Large‐sample approximations and change testing for high‐dimensional covariance matrices of multivariate linear time series and factor models
- Flexible nonlinear inference and change-point testing of high-dimensional spectral density matrices
- Explicit minimal representation of variance matrices, and its implication for dynamic volatility models
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