At the beginning of each month from January 1968 through December 2005 (456 months),
we estimate a covariance matrix for the 1,000 largest market capitalization US stocks with 60 …

Estimation lookback window is a key calibration parameter in industry-standard risk models.
It determines how readily the model incorporates new data to form volatility forecasts. Most …

This article compares the performance of minimum-variance portfolios based on four
different covariance matrix estimators, using daily return data from the German stock market …

Considering the progressive trend of globalization of markets, this paper studies the
differences in performance among global minimum variance portfolios (GMVPs) derived …

Abstract Protected Adaptive Asset Allocation (PAAA) is a tactical asset allocation model that
targets an optimal risk/returns ratio using both a momentum index to capture the short-run …

The paper studies the differences in risk reduction among global minimum variance
portfolios (GMVPs) derived from the optimization of weekly and monthly return. This …

Abstract Ever since Harry Markowitz published his seminal paper on portfolio selection,
investors have incorporated estimates of future volatilities and correlations into their asset …

The objective of this paper is to examine effects of realized covariance matrix estimators
based on intraday returns on large-scale minimum-variance equity portfolio optimization. We …

Robo advisors represent a fast-growing trend within the investment advisory industry and
have the huge potential to be an alternative for retail investors. However, being such a …

The sample estimator of the covariance matrix is often found to be unstable due to
estimation error. But more sophisticated covariance matrix estimators that rely on factor …