Building the Global Minimum Variance Portfolio G
- 1 January 2023
- book chapter
- Published by Springer Nature
- p. 123-148
Abstract
No abstract availableKeywords
This publication has 33 references indexed in Scilit:
- A New Asset Pricing Model Based on the Zero-Beta CAPM: The ZCAPMSSRN Electronic Journal, 2012
- A New Asset Pricing Model Based on the Zero-Beta CAPM: Theory and EvidenceSSRN Electronic Journal, 2012
- Honey, I Shrunk the Sample Covariance MatrixThe Journal of Portfolio Management, 2004
- Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints HelpsThe Journal of Finance, 2003
- Portfolio Selection and Asset Pricing ModelsThe Journal of Finance, 2000
- On Portfolio Optimization: Forecasting Covariances and Choosing the Risk ModelThe Review of Financial Studies, 1999
- Common risk factors in the returns on stocks and bondsJournal of Financial Economics, 1993
- Positively Weighted Minimum-Variance Portfolios and the Structure of Asset Expected ReturnsJournal of Financial and Quantitative Analysis, 1992
- International Portfolio Diversification with Estimation RiskThe Journal of Business, 1985
- Estimation for Markowitz Efficient PortfoliosJournal of the American Statistical Association, 1980