Matches in SemOpenAlex for { <https://semopenalex.org/work/W1900537207> ?p ?o ?g. }
Showing items 1 to 83 of
83
with 100 items per page.
- W1900537207 abstract "The Markowitz mean-variance framework is the foundation of modern portfolio theory. One problem with this approach, however, is how sample covariance matrices tend to underestimate risk. Since the biases of optimized portfolios are closely related to eigenfactor portfolios, we present a methodology for estimating biases in eigenfactor volatilities, and for adjusting the covariance matrix to remove such biases. By removing the biases of the eigenfactors, we remove the biases of optimized portfolios. We also find that eigen-adjusted covariance matrices reduce the out-of-sample volatilities of optimized portfolios." @default.
- W1900537207 created "2016-06-24" @default.
- W1900537207 creator A5019314773 @default.
- W1900537207 creator A5042241049 @default.
- W1900537207 creator A5057911796 @default.
- W1900537207 date "2011-01-01" @default.
- W1900537207 modified "2023-09-28" @default.
- W1900537207 title "Eigen-Adjusted Covariance Matrices" @default.
- W1900537207 cites W173623995 @default.
- W1900537207 cites W2333022893 @default.
- W1900537207 cites W2496945004 @default.
- W1900537207 cites W3124455145 @default.
- W1900537207 cites W3125435015 @default.
- W1900537207 cites W639967202 @default.
- W1900537207 doi "https://doi.org/10.2139/ssrn.1915318" @default.
- W1900537207 hasPublicationYear "2011" @default.
- W1900537207 type Work @default.
- W1900537207 sameAs 1900537207 @default.
- W1900537207 citedByCount "2" @default.
- W1900537207 countsByYear W19005372072018 @default.
- W1900537207 crossrefType "journal-article" @default.
- W1900537207 hasAuthorship W1900537207A5019314773 @default.
- W1900537207 hasAuthorship W1900537207A5042241049 @default.
- W1900537207 hasAuthorship W1900537207A5057911796 @default.
- W1900537207 hasConcept C105795698 @default.
- W1900537207 hasConcept C106159729 @default.
- W1900537207 hasConcept C121955636 @default.
- W1900537207 hasConcept C149782125 @default.
- W1900537207 hasConcept C162324750 @default.
- W1900537207 hasConcept C178650346 @default.
- W1900537207 hasConcept C180877172 @default.
- W1900537207 hasConcept C181243257 @default.
- W1900537207 hasConcept C185142706 @default.
- W1900537207 hasConcept C185429906 @default.
- W1900537207 hasConcept C185592680 @default.
- W1900537207 hasConcept C196083921 @default.
- W1900537207 hasConcept C198531522 @default.
- W1900537207 hasConcept C2780821815 @default.
- W1900537207 hasConcept C33923547 @default.
- W1900537207 hasConcept C43617362 @default.
- W1900537207 hasConceptScore W1900537207C105795698 @default.
- W1900537207 hasConceptScore W1900537207C106159729 @default.
- W1900537207 hasConceptScore W1900537207C121955636 @default.
- W1900537207 hasConceptScore W1900537207C149782125 @default.
- W1900537207 hasConceptScore W1900537207C162324750 @default.
- W1900537207 hasConceptScore W1900537207C178650346 @default.
- W1900537207 hasConceptScore W1900537207C180877172 @default.
- W1900537207 hasConceptScore W1900537207C181243257 @default.
- W1900537207 hasConceptScore W1900537207C185142706 @default.
- W1900537207 hasConceptScore W1900537207C185429906 @default.
- W1900537207 hasConceptScore W1900537207C185592680 @default.
- W1900537207 hasConceptScore W1900537207C196083921 @default.
- W1900537207 hasConceptScore W1900537207C198531522 @default.
- W1900537207 hasConceptScore W1900537207C2780821815 @default.
- W1900537207 hasConceptScore W1900537207C33923547 @default.
- W1900537207 hasConceptScore W1900537207C43617362 @default.
- W1900537207 hasLocation W19005372071 @default.
- W1900537207 hasOpenAccess W1900537207 @default.
- W1900537207 hasPrimaryLocation W19005372071 @default.
- W1900537207 hasRelatedWork W1481196091 @default.
- W1900537207 hasRelatedWork W2082102138 @default.
- W1900537207 hasRelatedWork W2111560705 @default.
- W1900537207 hasRelatedWork W2125846356 @default.
- W1900537207 hasRelatedWork W2272037804 @default.
- W1900537207 hasRelatedWork W2307089468 @default.
- W1900537207 hasRelatedWork W2343133008 @default.
- W1900537207 hasRelatedWork W2346927699 @default.
- W1900537207 hasRelatedWork W2409629156 @default.
- W1900537207 hasRelatedWork W2435634216 @default.
- W1900537207 hasRelatedWork W2620150093 @default.
- W1900537207 hasRelatedWork W2890402023 @default.
- W1900537207 hasRelatedWork W2944697720 @default.
- W1900537207 hasRelatedWork W2954594959 @default.
- W1900537207 hasRelatedWork W2970671385 @default.
- W1900537207 hasRelatedWork W3122465604 @default.
- W1900537207 hasRelatedWork W3122655620 @default.
- W1900537207 hasRelatedWork W3174146782 @default.
- W1900537207 hasRelatedWork W35711573 @default.
- W1900537207 hasRelatedWork W1682450569 @default.
- W1900537207 isParatext "false" @default.
- W1900537207 isRetracted "false" @default.
- W1900537207 magId "1900537207" @default.
- W1900537207 workType "article" @default.