Matches in SemOpenAlex for { <https://semopenalex.org/work/W2033715518> ?p ?o ?g. }
Showing items 1 to 89 of
89
with 100 items per page.
- W2033715518 abstract "We evaluate the performance of different models for the covariance structure of stock returns, focusing on their use for optimal portfolio selection. Comparisons are based on forecasts of future covariances as well as the out-of-sample volatility of optimized portfolios from each model. A few factors capture the general covariance structure but adding more factors does not improve forecast power. Portfolio optimization helps for risk control, but the different covariance models yield similar results. Using a tracking error volatility criterion, larger differences appear, with particularly favorable results for a heuristic approach based on matching the benchmark's attributes." @default.
- W2033715518 created "2016-06-24" @default.
- W2033715518 creator A5004309080 @default.
- W2033715518 creator A5008383258 @default.
- W2033715518 creator A5079203402 @default.
- W2033715518 date "1999-03-01" @default.
- W2033715518 modified "2023-09-28" @default.
- W2033715518 title "On Portfolio Optimization: Forecasting Covariances and Choosing the Risk Model" @default.
- W2033715518 cites W1607221001 @default.
- W2033715518 cites W1995834279 @default.
- W2033715518 cites W2037683394 @default.
- W2033715518 cites W2046231816 @default.
- W2033715518 cites W2047134779 @default.
- W2033715518 cites W2062658155 @default.
- W2033715518 cites W2077364430 @default.
- W2033715518 cites W2089819736 @default.
- W2033715518 cites W2092013333 @default.
- W2033715518 cites W2094038915 @default.
- W2033715518 cites W2097281882 @default.
- W2033715518 cites W2100135549 @default.
- W2033715518 cites W2108519545 @default.
- W2033715518 cites W2131868098 @default.
- W2033715518 cites W2132393714 @default.
- W2033715518 cites W2164883547 @default.
- W2033715518 cites W2176146775 @default.
- W2033715518 cites W2795413297 @default.
- W2033715518 cites W3121451334 @default.
- W2033715518 cites W3121645825 @default.
- W2033715518 cites W3122232873 @default.
- W2033715518 cites W3122304752 @default.
- W2033715518 cites W3123301109 @default.
- W2033715518 cites W3124154869 @default.
- W2033715518 cites W3124527974 @default.
- W2033715518 cites W3125435015 @default.
- W2033715518 cites W1987874693 @default.
- W2033715518 cites W3125017017 @default.
- W2033715518 doi "https://doi.org/10.3386/w7039" @default.
- W2033715518 hasPublicationYear "1999" @default.
- W2033715518 type Work @default.
- W2033715518 sameAs 2033715518 @default.
- W2033715518 citedByCount "68" @default.
- W2033715518 countsByYear W20337155182012 @default.
- W2033715518 countsByYear W20337155182013 @default.
- W2033715518 countsByYear W20337155182014 @default.
- W2033715518 countsByYear W20337155182015 @default.
- W2033715518 countsByYear W20337155182016 @default.
- W2033715518 countsByYear W20337155182019 @default.
- W2033715518 crossrefType "report" @default.
- W2033715518 hasAuthorship W2033715518A5004309080 @default.
- W2033715518 hasAuthorship W2033715518A5008383258 @default.
- W2033715518 hasAuthorship W2033715518A5079203402 @default.
- W2033715518 hasBestOaLocation W20337155181 @default.
- W2033715518 hasConcept C106159729 @default.
- W2033715518 hasConcept C149782125 @default.
- W2033715518 hasConcept C162324750 @default.
- W2033715518 hasConcept C202655437 @default.
- W2033715518 hasConcept C21099588 @default.
- W2033715518 hasConcept C2780821815 @default.
- W2033715518 hasConcept C41008148 @default.
- W2033715518 hasConcept C77913304 @default.
- W2033715518 hasConcept C9725762 @default.
- W2033715518 hasConceptScore W2033715518C106159729 @default.
- W2033715518 hasConceptScore W2033715518C149782125 @default.
- W2033715518 hasConceptScore W2033715518C162324750 @default.
- W2033715518 hasConceptScore W2033715518C202655437 @default.
- W2033715518 hasConceptScore W2033715518C21099588 @default.
- W2033715518 hasConceptScore W2033715518C2780821815 @default.
- W2033715518 hasConceptScore W2033715518C41008148 @default.
- W2033715518 hasConceptScore W2033715518C77913304 @default.
- W2033715518 hasConceptScore W2033715518C9725762 @default.
- W2033715518 hasLocation W20337155181 @default.
- W2033715518 hasLocation W20337155182 @default.
- W2033715518 hasLocation W20337155183 @default.
- W2033715518 hasOpenAccess W2033715518 @default.
- W2033715518 hasPrimaryLocation W20337155181 @default.
- W2033715518 hasRelatedWork W2379792557 @default.
- W2033715518 hasRelatedWork W2384706875 @default.
- W2033715518 hasRelatedWork W2396009620 @default.
- W2033715518 hasRelatedWork W2498125471 @default.
- W2033715518 hasRelatedWork W3138053240 @default.
- W2033715518 hasRelatedWork W3141254748 @default.
- W2033715518 hasRelatedWork W3144753570 @default.
- W2033715518 hasRelatedWork W3198789915 @default.
- W2033715518 hasRelatedWork W4206362337 @default.
- W2033715518 hasRelatedWork W4327968198 @default.
- W2033715518 isParatext "false" @default.
- W2033715518 isRetracted "false" @default.
- W2033715518 magId "2033715518" @default.
- W2033715518 workType "report" @default.