FRINK Linked Data Fragments server

Matches in SemOpenAlex for { <https://semopenalex.org/work/W4310546912> ?p ?o ?g. }

• W4310546912 endingPage "537" @default.
• W4310546912 startingPage "521" @default.
• W4310546912 abstract "The Minimum Variance portfolio is subject to varying degrees of stability and robustness. We, therefore, propose a theoretical measure of its stability relative to a Marchenko–Pastur derived random correlation matrix. We demonstrate its practical use on the S&P 400, the S&P 500, the S&P 600 and the Russell 1000. Using historic market data from 2002 to 2021, we perform an optimisation on the empirical correlation matrix eigenvalue distribution to determine the implied variance ν(t) for the underlying data-generating process. Through monitoring its change over time Δν(t), we provide a Stability Measure for the Minimum Variance portfolio and thereby help researchers measure changes to estimation risk and manage rebalancing regimes." @default.
• W4310546912 created "2022-12-12" @default.
• W4310546912 creator A5075897129 @default.
• W4310546912 creator A5088966339 @default.
• W4310546912 date "2022-12-02" @default.
• W4310546912 modified "2023-10-14" @default.
• W4310546912 title "An eigenvalue distribution derived ‘Stability Measure’ for evaluating Minimum Variance portfolios" @default.
• W4310546912 cites W1974469640 @default.
• W4310546912 cites W1997375396 @default.
• W4310546912 cites W2060581589 @default.
• W4310546912 cites W2089964988 @default.
• W4310546912 cites W2093432936 @default.
• W4310546912 cites W2110607806 @default.
• W4310546912 cites W2135282243 @default.
• W4310546912 cites W2144809865 @default.
• W4310546912 cites W2147675445 @default.
• W4310546912 cites W2159829736 @default.
• W4310546912 cites W2165408259 @default.
• W4310546912 cites W2165918462 @default.
• W4310546912 cites W2615002821 @default.
• W4310546912 cites W2789920112 @default.
• W4310546912 cites W3104363895 @default.
• W4310546912 cites W3121451334 @default.
• W4310546912 cites W3123979261 @default.
• W4310546912 cites W3124422391 @default.
• W4310546912 cites W4211177483 @default.
• W4310546912 doi "https://doi.org/10.1080/14697688.2022.2149420" @default.
• W4310546912 hasPublicationYear "2022" @default.
• W4310546912 type Work @default.
• W4310546912 citedByCount "0" @default.
• W4310546912 crossrefType "journal-article" @default.
• W4310546912 hasAuthorship W4310546912A5075897129 @default.
• W4310546912 hasAuthorship W4310546912A5088966339 @default.
• W4310546912 hasBestOaLocation W43105469121 @default.
• W4310546912 hasConcept C10138342 @default.
• W4310546912 hasConcept C104317684 @default.
• W4310546912 hasConcept C105795698 @default.
• W4310546912 hasConcept C112972136 @default.
• W4310546912 hasConcept C119857082 @default.
• W4310546912 hasConcept C121332964 @default.
• W4310546912 hasConcept C121955636 @default.
• W4310546912 hasConcept C124101348 @default.
• W4310546912 hasConcept C126255220 @default.
• W4310546912 hasConcept C139945424 @default.
• W4310546912 hasConcept C149782125 @default.
• W4310546912 hasConcept C158693339 @default.
• W4310546912 hasConcept C162324750 @default.
• W4310546912 hasConcept C165646398 @default.
• W4310546912 hasConcept C185142706 @default.
• W4310546912 hasConcept C185592680 @default.
• W4310546912 hasConcept C196083921 @default.
• W4310546912 hasConcept C202655437 @default.
• W4310546912 hasConcept C2780009758 @default.
• W4310546912 hasConcept C2780821815 @default.
• W4310546912 hasConcept C28826006 @default.
• W4310546912 hasConcept C33923547 @default.
• W4310546912 hasConcept C41008148 @default.
• W4310546912 hasConcept C55493867 @default.
• W4310546912 hasConcept C62520636 @default.
• W4310546912 hasConcept C63479239 @default.
• W4310546912 hasConceptScore W4310546912C10138342 @default.
• W4310546912 hasConceptScore W4310546912C104317684 @default.
• W4310546912 hasConceptScore W4310546912C105795698 @default.
• W4310546912 hasConceptScore W4310546912C112972136 @default.
• W4310546912 hasConceptScore W4310546912C119857082 @default.
• W4310546912 hasConceptScore W4310546912C121332964 @default.
• W4310546912 hasConceptScore W4310546912C121955636 @default.
• W4310546912 hasConceptScore W4310546912C124101348 @default.
• W4310546912 hasConceptScore W4310546912C126255220 @default.
• W4310546912 hasConceptScore W4310546912C139945424 @default.
• W4310546912 hasConceptScore W4310546912C149782125 @default.
• W4310546912 hasConceptScore W4310546912C158693339 @default.
• W4310546912 hasConceptScore W4310546912C162324750 @default.
• W4310546912 hasConceptScore W4310546912C165646398 @default.
• W4310546912 hasConceptScore W4310546912C185142706 @default.
• W4310546912 hasConceptScore W4310546912C185592680 @default.
• W4310546912 hasConceptScore W4310546912C196083921 @default.
• W4310546912 hasConceptScore W4310546912C202655437 @default.
• W4310546912 hasConceptScore W4310546912C2780009758 @default.
• W4310546912 hasConceptScore W4310546912C2780821815 @default.
• W4310546912 hasConceptScore W4310546912C28826006 @default.
• W4310546912 hasConceptScore W4310546912C33923547 @default.
• W4310546912 hasConceptScore W4310546912C41008148 @default.
• W4310546912 hasConceptScore W4310546912C55493867 @default.
• W4310546912 hasConceptScore W4310546912C62520636 @default.
• W4310546912 hasConceptScore W4310546912C63479239 @default.
• W4310546912 hasIssue "3" @default.
• W4310546912 hasLocation W43105469121 @default.
• W4310546912 hasLocation W43105469122 @default.
• W4310546912 hasLocation W43105469123 @default.
• W4310546912 hasOpenAccess W4310546912 @default.
• W4310546912 hasPrimaryLocation W43105469121 @default.
• W4310546912 hasRelatedWork W1510505519 @default.
• W4310546912 hasRelatedWork W2106686859 @default.
• W4310546912 hasRelatedWork W2124216144 @default.
• W4310546912 hasRelatedWork W2498125471 @default.
• W4310546912 hasRelatedWork W2552050053 @default.
• W4310546912 hasRelatedWork W2782072781 @default.

• next